Well why not Earth? As in the earth where all these characters are supposed to be fictitious/non-existant? It could be our characters arrive through various means in around about the same area as The Incubators when they start harvesting peoples souls.
Although at that point I doubt our characters would be strong enough to fend them off for long so they'd have to retreat with the Incubators hot on their tail. Then we get to the whole bit of them being safe and asking questions about what happened, who each of them are, what to do. ect. :3

Also might be a good idea to drag in that exposition bit from the sign up onto here for future reference.