I give my boys individual time, individual outings. As others said above, I think it is beneficial in many ways....but not relative to grieving a loss. They will grieve no matter what.
I often worry that Teddy would be devastated without Max. When I took Max in for surgery, Teddy was so upset that he didn't want to go walking -- his favorite activity. He pulled me back to the house and waited by the door for Max to return.