So I started a new game (I was waaaaaay underlevelled in the Phon Coast) and tried a different approach ata levelling up. I noticed how you gain less experience per each character in a party. So I decided to level up single characters in the Lhusu Mines (Larsa is a great help with his free hi-potions) and I like it better that way Even though in the end it's all the same, this way seems a little less tedious than the normal one.
Larsa is also stealing some of your EXP.

I level single characters at a time when I'm chaining things for loot but normally raise them all at once somewhere like the Henne mines. Single character levelling is good for catching someone up when they've fallen behind, but it's not really faster as a method for levelling the full party (doing it one at the time you will spend roughly the same length of time as you would have with a full party anyway).