Field-expedient cautery should be a last resort. Watching just the clip (thanks Jaclyn), they had plenty of bandage material and could easily have used one hand for direct pressure. This was grade-A foolishness and may very well end my interest in the show.
given the resources they had available, what were the other options to close up/protect a wound like that?
Irrigate the wound thoroughly if enough clean water is available. Make a bandage out of a couple of cloth strips. Use direct pressure to stop the bleeding.
In the short term if you can stop the bleeding with direct pressure, hopefully you'll be rescued and get to definitive care before any potential infection lays you low. From what I saw, Dave wasn't bleeding very much.