There's an old saying in roleplaying games: Never split the party. Is that true for the Pathfinder Adventure Card Game? This isn't an RPG, so the answer is, "It depends."
Sometimes, it's a good idea to have multiple characters at the same location; at other times, it makes more sense to split the party. A lot of your strategy depends on which characters you're playing. If you're playing the helpful Fumbus or Lem, staying together makes sense; if you're playing the sneaky Merisiel, you may want to be alone.
The best strategy also depends on where you're going. It can be dangerous to hang out as a group in the Mine, where one character's failure can entangle everyone. But when you go out on the Trail, you want company. Sometimes you want help for whatever perils await you; another time, you might find some Burning Tar that hurts everyone there.
Also consider your progress in the scenario. If you know where the villain is, splitting up so you can guard locations is a good idea ... unless it isn't.
Every situation is different, and thinking before you move is always wise.