It depends on the situation, best to agree upon pre-dive. A few weeks ago - lake dive, viz under 10 ft, depth around 20-30ft - we agreed to search for a minute, then surface. After an hour of exploring we both had air left, and agreed on heading straight back - compass heading 180 - to our entry across the lake at 10-15. Trying to stay together at that viz without holding hands would have been impossible, so we each went on our own at that depth, and surfaced very close to each other once we got back.
Bottom line: Whatever you and your buddy agree upon.