Why didn't they just go to the Underworld earlier?

I don't think the characters knew going to the Underworld was even possible until now.

That's because they only just learned about it when Robin was nearly taken there when Belle and Regina were trying to find out about the thing trying to take him away. They didn't really know that it was an option until recently. Besides, being able to bring Hook back to life by sharing a heart with Emma is only a theory Emma has and there is no real way of knowing if it would work by going to the Underworld. Unlike a lot of people, I LOVE the direction the show is going in. I do wish that The Queens of Darkness, The Dark Swan, and The Underworld all just were shown as an entire season than just for half a season because there's so much potential with them.

Since there are going to the underworld will Neal & Graham return as while as Hook

One of the things necessary to travel to the Underworld/summon Charon's boat is the blood of someone who's died and come back to life. This wasn't possible back when Daniel died, or back when Graham or Cora died (characters you didn't name but ones some characters might be motivated to save). Rumplestilskin was the first character to be revived, so Underworld travel wasn't possible before season 3B.

As for Neal's death, the characters didn't know this was a possibility. Even though at this point they'd have the necessary blood, they didn't know that it could be used in this way. Hook only learned of the means to do this from Nimue's memories when he basically made a deal with her to bring back all the late Dark Ones in exchange for his revenge (I'm not sure why Rumplestilskin couldn't have learned it from her previously, other than the writers not thinking of the idea or not wanting to use it at the time). Also, I think in reality they had to kill off Neal or write him out somehow, because his actor wanted to leave.

Finally, writers in general don't want to be bringing characters back from the dead early on or doing so too easily or without a price. If you do so, you make the deaths cheap and stop fans from caring as much for the characters. By season 5, it was like they'd earned a one-time character save.