Companions are crap while sneaking. They don't sneak well, they don't try to hide in shadows, and many times they just reveal your position.
However, they can make good set-up dummies!
For instance, you tell your companion to "wait here". Then, you go get a nice sneaky position somewhere ahead of them. As soon as their wanna-be sneakiness fails and the NPC runs up to great them, you watch him run on by and catch him with a Backstab before he even gets close to your companion. With a 6x Backstab, its pretty much instagib.
That said, no, I don't get lonely on my sneaky type without a companion... unless I see a dragon.
