This is one of those things that I say is a judgement call.
Know your limits. Look at what they’re surrounded by, spam tag to make sure you get a look at all specialists/elites in line of sight, then assess the amount of smaller, non-taggable enemies. Can you do it in less than ten seconds? Do it. If not, you’ll likely get another wave by the time you pick them up or something will come to disable you during the pickup.
Be mindful of what your team is doing If they’re wandering around and you’re between waves, tag the area for help with a location/eye marker. If they’re busy handling a horde, weigh the offensive power of the horde and note if they’re in a good defensible position to hold them off while you branch off to save your buddy.
Keep an eye on their bleedout timer. Going to go out of position when someone is less than 25% left is rarely going to work unless you have someone that can disable everything in the area with you.
Don’t sprint You’ll need that stamina to pick the person up, and if you’re not a psyker with kinetic deflection, odds are you’ll likely get hurt during pickup animation. This is why Deflection on your force sword coupled with kinetic deflection on the gun psyker tree is particularly useful.
And certainly last… Consider if they’re worth saving. If they’ve been BM or a detriment to the team by soaking up all the ammo, going out of position, etc. sometimes the best lesson is one in which they have to take time to think about why they went down in the first place.