If you would rather let someone else do the work, lead them to any town guards who will no doubt make short work of them. The Cultists can also summon Seekers - nasty mage-like daedra that will shoot projectiles at you. You can play dumb or own up - either way they will attack you. In any case, two cultists will approach you and ask if you are the Dragonborn.
You can either wait in one of the main holds, or head to Windhelm and take the boat to Solstheim yourself.
