I'm afraid that there is no simple answer to that question... because there is so many variables that should affect your strategy and gameplay.
First of all, there is a matter of your party size: generally, you need to split your party the more characters you have (playing with 6 character party spliting is a must) since you'll want to temp close some locations if you encounter a villain early. Remember, you always have 30 turns, regardless of the size of your party.
Second, there is a matter of which characters are in your party... some like Merisiel or Harsk have to be alone in order to use their full powers while others like Valeros and Lem want to be with someone else to use their full powers.
Then there are locations... there are several (Garison, Waterfront, Warrens) where you don't want multiple characters due to location power. Also, with locations you have to take into account what their "When closing" check is so you don't send someone who will have a hard time passing the check there (one check you never, ever want to fail is a check to permanently close a location!).
Finally, there are Villains and later on Henchman to take in consideration. If a Villain have a power to force everyone at location to make a check or take damage you generally don't want your party in same location. On the other hand, some Villains have multiple checks to defeat so it's easier if you don't face them alone. Some even get a bonus if you're the only character at the location making it harder to beat them.
Also, if this is your first encounter with the game you might want to read Strategy articles on Paizo's homepage which you can find here: