You obviously already know about dative and accusative when used with locations, the former generally meaning something being there and the latter something going there.
Here, the sentence does not necessarily say that you are going to jog into the forest. Rather, after having gone to town, you’re going to go to the forest and then do some jogging there. The active verb that governs the case of in den Wald is gehen in the sense of going somewhere (not walking). You should ask for this by asking: ‘To where are they going to go jogging?’
As User Unknown correctly points out, you don’t have to do all your jogging in the forest, you’re just starting there.
An optional (as per Chirlu’s comment, according to § 75 E2) comma could be inserted to clarify this reading:
Danach gehen wir in den Wald, joggen.
You could also stress the fact that you are jogging in the forest more by saying:
Danach gehen wir im Wald joggen.
Asking for this would result in the question you suggested: ‘Where are they jogging?’ But that’s a slightly different sentence.