To solo, just don't let any characters join you. There are a few exceptions, such as taking Valygar along for a while instead of killing him, so you can role-play. A good character wouldn't kill him.
People solo because it is a challenge. Your character will get all experience to his/herself and so will level up faster.
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If possible, I want to relive my life... not as a devil. This time, someone like you.
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