There is no 'proper' way and the answer to this depends on the actual design.
Either way is fine as long as you're in control of the content and everybody else receiving the files can understand the setup. Also, a design can be built using a mix of these, eg. using both single- and multi-column frames.
Although I am using multi-column frames most of the times, the answer to this depends on the actual design. In some cases it makes more sense to use single-column frames, like when doing simple designs like a one-page flyer with not much text, or when you don't need to use threaded frames, or when there's text floating around many images at different places on the page, or when columns start at different margins from the top of the page. The more visual (non-text) elements on the page, the more likely you are to use single-column frames.
Then, when doing large volume work with mostly text content, you kind of have to use multi-column frames to speed up the formatting.
One major disadvantage with multi-column frames is that with this setup, columns are always equal in width, which is not always useful depending on the design.