Well, one at a time. The bakest corners are important, some information you only get from Alon there. Go to them, especially the ones because of Cooper. To save Cooper you will make a path with some turns until getting him, you'll have to come back all the way correctly, choosing the opposite directions from the ones to arrive in that room. In the last room moving back, Alon will help you, since Cooper is down and you are outnumbered. And last, yes, if you don't use the bomb to blow the door, Alon will appear to help you, so he will be near after you leave the bath and go to save Cooper, at least I think that makes him stay close. If you try to save him without Alon, Cooper will make a sacrifice for you and die.