It's not important to equip the other party members before you enter the Fortress of Regrets, it's your destiny and you have to fight most if not all the hard fights alone there.

Take your party with you to the Fortress of Regrets, but save before you enter the portal and don't overwrite this save in case you can't handle what's inside and want to do some grinding first

Undersigil is just a place for grinding XP. The monsters are reset each time you leave and reenter.

If you haven't cleared Undersigil before you might want to do it just once for the challenge. Afterwards it's just for grinding, if you're powerful enough you might even want to have the other party members wait outside to get the XP all for yourself to get more levels and stat raises.
There's a chance for a hard monster to spawn down there which can leave a powerful random item, even punch daggers if you're lucky, but the chance is very low, not worth spending much time unless you enjoy doing so.

The only way to get armor for Annah is checking the Tailor Shop in Clerk's Ward. If you already bought all the the armor there try to remember where you sold the old armor after you bought a new one. But don't think that a little AC bonus will make a huge difference.