Sadhana has to be done in the body, it cannot be done by the soul without the body. When the body drops, the soul goes wandering in other worlds—and finally it comes back to another life and another body. Then all the difficulties it had not solved meet it again in the new life. So what is the use of leaving the body?
Moreover, if one throws away the body wilfully, one suffers much in the other worlds and when one is born again, it is in worse, not in better conditions.
The only sensible thing is to face the difficulties in this life and this body and conquer them.
Ref : Letters on Yoga Vol. III