Yeah, that particular short story is the first one in volume 8, the first two chapters in fact. I personally found it the most interesting short story out of all the ones in vol 8.
It's pretty hilarious.
As for Fuyuhime...
Spoiler:
Keep in mind Godou's rather overblown reputation, at least when it comes to women.
Fuyuhime apparently confided in Sakura that she's afraid that she (Fuyuhime) might be the next to be "devoured by the devil king".
Sakura then asked Godou to help her find this "Devil King" in the hopes that if they properly explained things to this person, he'll agree to keep his hands off of Fuyuhime.
Later on, Fuyuhime joins them in their search. Thus, it's the adventure of Fuyuhime, Sakura, and Godou, as they try to find the Campione of Japan and convince him to not grab Fuyuhime for his harem!
They do succeed... Sort of? At least, as far as their goal of "meeting the Campione" and "convincing him to not force Fuyuhime into his harem" go, those were accomplished by the end of the story. Even though, to be accurate, those goals were accomplished since before the adventure even started...