Two kinds of progress
Hero-bound progress includes the character's level, equipment, inventory, spells, and personal advancement. World-bound progress includes story state, recruited allies, and built structures.
Why co-op groups should care
A portable hero can join another world with their personal equipment, while the host world keeps its own story and stronghold. Decide whose world is the long-term home before putting major effort into its quests and facilities.
A simple planning habit
Keep personal character goals separate from host-world goals. That makes it easier to join friends without assuming that every story step or building improvement will appear in every save.