I wrote earlier that I wasn't decided about the hunt ... now I am: Go on the Hunt.
Who to invite? +1 IronyOwl's suggestions
Preparations?
1) Talk to Pierre and/or Vishnu. Ask not just how to kill a sand daemon – Penteram should have that covered as a competent hunter – but also about any common links among those who survived an unsuccessful encounter. If the answer is something as simple as "be faster than the other guy" we can make sure our nearest and dearest have the best dire kangaroo rats in the nameless city (including presents for Mother and Penteram when they come down). Since we've mostly studied illusion, it would be good to know if daemons have any weakness in that area. Will an illusion help to hide us if things go badly? Do they have some sense of magic that will draw them right to it?
2) Talk to Penette, very discretely, about Pierre. She's the only other person in our group who is considered true royalty, that seemed to be important during our encounter. If she answers as we suspect she will, point out that Penteram's death during the expedition would reverse our kingdoms' relative position – as I understand Philip is ineligible due to bastardry but his infant child will need a regency and New Mahallo could become the "senior" partner. Of course, by the same token, our own death would make her a queen. Something for her to think about, what does she value and what will she sacrifice. We make no demands, we trust her. (Not trusting runs the exact same risk, after all.)
Not quite expedition preparation, but we can also tell Penette (in the same or a different conversation) that we would be fine if she continued to study here. However as the succession now stands, it might be best if she didn't completely isolate herself from the Imperials in the city. Look around, maybe ask a teacher, try to find one or two who are tolerable assholes instead of complete moron assholes.