Small aerosols drift down a temperature or turbulence gradient since faster particles fly longer distances before equilibration. That fundamental phenomenon is known since Maxwell and it was universally believed that particles moving down the kinetic energy gradient must concentrate in minima (say, on walls in turbulence). Here, I show that this is incorrect: escaping minima is possible for inertial particles whose time of equilibration is longer than the time to reach the minimum. "The best way out is always through": particles escape by flying through minima or reflecting from walls. I present the analytical solution of this problem, which has surprising analogies with multiple phenomena, from Anderson localization to non-equilibrium steady states and modified fluctuation-dissipation theorem. I shall also describe the related localization-delocalization phase transition upon the change of elasticity of wall reflections.