You can hold down for a few seconds to tell your gang members to stay put, tap up to get them to follow you closely, or hold up to tell them to go home.
There are several places to activate 2-player free roam in San Andreas.
Unlike in the previous GTA's, yes, you can visit other cities before unlocking them, however I would strongly advise against it.
You will instantly receive a 4 star wanted level which cannot be removed via cheating or Pay N' Spray and the cops won't give up until you're dead.
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