I just stuck with one and kept giving them stronger persona as the game went on. It's a pretty easy game, enemies are insanely weak to Guns. The minute you can get Gozu-Tennoh, immediately give it to someone (I gave it to Mark) for Megidola, many enemies are weak to it as well.
Set up your characters like this:
Mark Hero Nanjo
------ Middle person (I used Brad) ------
------ Mary------