@givemersspls
By going alone, he can use stealth. None of his associates can do that, so taking one along would just increase his risk. When he went the first time, he went with all the survivors of Glory City, and they took casualties. It was completely different.
There are two aspects to his strength: cultivation level, and centuries of accumulated knowledge and experience. For the former, he did his best to raise the level of his gang. And they are, in fact, keeping up with him, if not outpacing him. But there's nothing he can do about the latter, and it's the important bit for what he's doing. There's no single trick he can teach to ensure their safety. Except maybe having a Shadow Devil, but he only has one, and even if he had many, it's not a very good spirit for fighting, and the others can only fuse with one.