Wes is going to be in a pretty bad place. He's going to be super guilty over having not realising Lilah was being victimised all of this time. In thinking Damon was a potential friend and so on. His solution will be to take care of the problem while the others are following a false lead. So my guess is he'll take Damon to the caves and imprison him there. There will be torturing and loads of vervain on hand to weaken damon. So if the ladies want to figure out where Damon's being held, that's cool.