The majority of this episode is told in flashback or takes place indoors. There are a few locations to cover, however.
We begin with a new New Cap City locale, the hilariously named "Sinny McNutt's". I suspect this is a real place, since it looks so... real. But I have no ideas so far.
Joseph pays a repeat visit to the Smile Diner at 424 W. Pender. I'm not sure if this was a new shot or a re-purposing of unaired footage from the pilot. It's dark so it's hard to tell if Joseph is wearing gloves.
Daniel creepily buys someone's shirt off of his back:
Based on the building in the background (cleverly augmented with what seem to be Christmas lights) I extrapolated this location as Main & Alexander:
Finally, we see a Graystone Industries loading dock. There may be enough visual clues to give me an idea of where this might be, but I'm not holding my breath: