With a pony bottle I will do like with a deco stage. It is what I learned and also to be consistent in the different dive like with a pony or a deco stage. So all the way closed and pressurized after a bubble check at the surface or about 3m to 6m. For most part of the dive, you won't need it, if it's not all the dive as it is your reserve, so what is the point to have it open and risk to don't be able to use it when needed. If it's back-mounted and difficult to reach the valve like Devon mentionned, I would do valve open, but it is not the way a wear my stages. I didn't know that practice. Anyway, be consistent is a key point for me.
You shouldn't be out of gas so quickly. In my view you can anticipate it by checking your consumption underwater based on your dive plan, like a free flow on your back can be seen by your buddy and you should check your gauge regularly, so the pony can assist you to reach the surface, it is just a safety bottle. Relying on your budy for gas sharing is not the way I dive, it is in second or third rank in the solutions.