Whenever you connect your pc to your phone and choose the SD as disk drive (instead of AS), your phone looses access to the SD card, which can be a hassle if you had programs running or need to open/run a program while your phone is accessible on your PC as an SD drive.
Most cabs and installs don't take up much space, so I install to device just to save myself the hassle later on.
Oh, and I highly recommend installing "CabViaActivesync" here:
http://www.modaco.com/content/window...now-available/
This has saved me loads of time when installing cabs from my pc. It integrates into your shell menu like so: