If you risk losing one delve, you will probably lose the game.

Companions are the resource you spend to go deeper; unless you know you're not going to go deeper, giving up one to open a single treasure chest early might not be worth it. You want to be efficient with your dice usage.

I would recommend waiting for two or more of the chests or potions before Using or opening those. The deeper you go often the less you'll have to work with. The more important your selections become.

Treasures gain you points but can also help your delve get deeper. The deeper you go the more points you get.

Good luck, have fun!