I'm doing pretty much the same as you, though I tend to keep the pets close as long as I find an altar.
Deeper then DLVL 5 they're pretty much of no use, unless you find a wand of polymorph. A few zaps (not too frequently) and you'll get yourself a nice tame dragon, which is an excellent aid. (If you have lost your pet you can always tame a kitten or dog with tripe rations or a horse with carrots.)