They make a deal.
Night Hags are the merchants of souls, if they want something they deal for it... often in common currency of the lower planes... souls. There is nothing in the Night Hag description which would allow them to stalk prey in the Material plane on their own*, yet their Dream Haunting method of killing requires they use the Ethereal plane which is arguably a 'Material plane related activity' (see Transitive planes section below).
(* There is mention of the Nightmare in the Organization section where it lists one way to come across Night Hags as "mounted (1 and 1 nightmare)".)
The rules seem to imply that the Shadow and Ethereal planes both exist in a 1-to-1 relationship with a Material plane. Though it isn't stated explicitly they don't connect to the Outer planes, it is the Astral plane which is specifically flagged as the connector between Inner, Material, and Outer under Transitive Planes.
As dealmakers Night Hags have a number of outsiders they could deal with to gain access to Material planes, but two parts of their description give pointers to their association with Nightmares. They have the Feat Mounted Combat, and a Ride of +15. If they were riding a broom, that would be Fly skill not Ride... so they're riding something, and at +15 they're doing it damn (forgive the pun) well! Lower planar mounts are scarce from what I can see in the Bestiaries, so Nightmare seems a prime candidate. Nightmares are intelligent, so they can easily strike a deal with a Night Hag for their services.
Other options include making a deal with:
- A Dimensional Shambler which can wrestle them across planes once per hour,
- A Thanadaemon which can row them to a material river at will,
- A Contract Devil (Phistophilus) who can be contracted for transport once a day,
- A Bdellavritra (Belier) Devil once a day... though well above a Night Hag's pay grade, they may be able to strike a deal as Devils are lawful.
Then there are items such as:
- Amulet of the Planes,
- Staff of the Planes,
- Forked Rod.