It depends. Using scenes can look more neat to some people. Personally, I think scenes are just annoying, since they mess up the timeline and are only adressable from that same timeline. And if it were up to me, there would be no preloaders, but that's just (nearly) impossible right now, unless you're making something really small.
My advice, go with the swf method if you want all your work to have the same preloader, otherwise use the single keyframe method.