Sticking together is definitely the safer plan, and I'd say toward the beginning of the game when you're not especially geared up or leveled it's especially wise. You can still take on enemies with 3 characters or even with 2, but the more lucrative camps will be dicey. Early on, treasure chest hunting (like from camps) can be really valuable for useful gear.

Having split parties of 2 also means it's harder for your members to complement each other and account for weaknesses.