Agree with JAYTO.
In any event, isn't this what we do anyway most of the time. Compared to many airlines, especially the US carriers, we're often far more cohesive as a team walking through those terminals rather than in dribs and drabs like many.
My bone of contention is immigration. If the Captain goes through first, there's little he can do to help his crew. At least going last you can herd the sheep into the pen and see which Arab with a French passport is going to be interrogated for an hour or more by JFK border control! And as Glo states, hanging around in a bunch of 25 for the GR2 to decide what Duty Free to buy ain't going to happen.
Harry