hm.. I suppose whichever way works best for you is fine.
It's interesting how they make pixel-art in illustrator, but I'm not sure what advantages it would have. There's a lot of useful tools you have with raster image editing that you may not have with vector based editing.
The video didn't show what you'd have to do in order to, for example, cut things and move them around/rotate,scale,etc. An operation like that is probably simpler with raster image editing as it would maintain your pixel style. When you use vectors, it seems like it would just add extra overhead that you'd have to manage, and might be more time consuming.