Y'know destroying the phylactery right now wouldn't do a whole lot of good. They can be remade, and as Xykon has previously stated, he's got eight hours a day to work on making magical items. By the time the Order of the Stick gets to a point where they're a credible threat to him, I'm going to bet he could make another.

Now swiping the phylactery, giving it to V and getting V the hell out of Dodge is another matter. Should that happen and V regroups with the party, the Order of the Stick can choose where and when to destroy the container for Xykon's soul, (say before a climactic final battle) which incidentally he can't do a damn thing about except hunt them down. It's like loosing one's wallet vs having it destroyed. You can replace most of the contents of your wallet if you run them through the wash. If someone steals your wallet, you dread every moment thinking of what the person who has it is doing with it.

On a 'rain-on-the-parade' moment why does anyone think that O-Chul is going to his final reward? As evidenced by V's encounter with the dragon, a soul can be popped back into a dead body, Xykon is all kinds of evil, and there's a big hole in the universe nearby where a soul devouring monster resides. Do the math. He'll reanimate O-Chul's corpse, and toss his soul along with the corpse into the Snarl. However, O-Chul is most likely aware of this possibility given his recent experiences, which makes him even more of a hero.

Really, building a golden statue of the guy and declaring a national holiday called O-Chulmass isn't enough to give credit to his heroism.