He hurried outside with the hundred other prisoners from his hut, completely exposed now to the bitter wind, and they marched off to the mines. A "bitter wind" is one that makes it very cold. "March off" is being used as a phrasal verb, so you can't separate the particles without losing the meaning. To "march off to the mines" is to walk toward them. the use of "march" rather than "walk" indicates a determined effort. We don't say people are "marching" unless they are walking with a stride and determination characteristic of soldiers.