“It’s more risk to stay in the barony then go into the wilds” - makes no sense and is grammatically incorrect, did you mean “than to go”?
Use “than” for comparisons. To quote M-W dictionary:
Than and then are different words. Than is used in comparisons as a conjunction, as in “she is younger than I am,” and as a preposition, “he is taller than me.” Then indicates time. It is used as an adverb , “I lived in Idaho then,” noun, “we’ll have to wait until then,” and adjective, “the then governor.”