As long as the ports are open and available and the system along with s/w acknowledges those ports will do fine. Do whatever(use) you have available and feel comfortable with.
For ease, I tend to use an ext. USB HD or flash drive depending on data amounts to swap data. In such cases it will be easy and done with w/o dealing with fancy s/w or networking.
I just got a new laptop, and to send over my documents and such, can I hook up an eSATA cable between the two or would it just be easier to hook them up with a short ethernet cable and set up a mini network?