If you don't bring a unit, you'll get captured by the monsters.
If you bring a unit, you'll most likely get skirmished by the monsters.
If you bring a unit and evade, sooner or later you'll end up in battle with the monsters, lose your unit, probably get seriously wounded, and then get captured by the monsters.
It's not totally impossible to get into the West alone, but the chances of it succeeding for more than a day or 2 at most are vanishingly small.