That's the ultimate Demon's Souls question! Depends how confident you are, how many souls are at stake and how far into a level you are. If you think you can fairly easily get back and recover your souls if you die, go for it! Though many souls have been lost forever doing this. To begin with, I'd keep an eye on how many souls you need to level up and when you have enough go back to the Nexus, spend them and come back stronger.
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