Most of the teams my daughter has played on taught the runner at 2nd to go ahead and advance to 3rd, that way if the runner in the pickle did for some reason get put out you still had a runner standing on 3.
If the runner on 2B advances to 3B you are basically conceding an out against a good team. They will always run the baserunner back to the lower bag and two runners cannot occupy the bag at the same time. Also, as Sluggers mentioned, a "pickle" in softball is usually one or two throws if executed properly, so you risk running into a double play if you try to advance the runner to 3B when the play is at 3B.