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Ehh, I have enjoyed taking psychedelics alone many times, but I think it's probably clever to start with somebody more experienced who can keep their cool enough to remember where the towels are and help guide you to another area if something in the environment is overwhelming. Once you've been there a few times you can pretty much do this yourself, but without understanding how much set and setting affect the experience it can be difficult to remember that walking into the next room over can change everything. It's not about keeping you from jumping out of a window, it's about managing messes and mood.