There is no 'proper' way.
Either way is fine 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 text 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 text frames, like when doing simple designs like a one-page flyer with not much text, 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.