Generally it shouldn't matter. Either method works the same way; interupting the flow of electricity. One method is simpling pulling the plug from the wall, the other is breaking the circuit through a small switch housing.
Saying that, I'd say turn it on and off with the switch. That way the power is turned off the same way everytime. Pulling the plug from the wall should be fine, but there's always that one a million chance you pull it weird and the cable shorts or one of the pins breaks off in the socket or something.