The smarter thing for the boys to do is to seek a temporary alliance with Zhu Yuyan, dangling the Demonic Emperor Relic hidden by Lu Miaozi in the Duke Yang's Treasure as a bait. They had a deal with Wanwan anyway remember?
Then, they will be able to use Yin Gui Pai power to distract the other people hunting them. There's no problem with the Relic as they can just "suck it dry", just like what they did to the Jade Annulus of He Clan.....hey, more power upgrade!