“Can we just live in deep space?”
– No, probably not.
– Watch (or re-watch) Silent Running for a science fiction notion of how that might work out, even with optimistic technology.
“Instead of terraforming another planet?”
– No, probably not.
– Trying to sustain life without any planet, poses many serious problems in terms of lack of resources, lack of gravity, lack of atmospheric protections against radiation and objects, lack of a variety of environments, etc.
– Terraforming a planet whose conditions are much farther from Earth-like, than Earth is, is VASTLY more work than maintaining life on Earth.
And, it looks doubtful that humans are even going to manage to sustain life ON EARTH. Good luck trying to do it WITHOUT EARTH.
The main advantage of leaving Earth, would be to get away from the foolish humans . . . but how would you even limit your expedition to non-foolish humans, and keep it that way?