There's room for both approaches, and both have their merits. Personally I like to try the steady, controlled one first, but if that is clearly not going to result in a clean release of the fastener, then I'm likely to resort to some sort of impact device before anything permanently deforms or breaks. This is a good time to make a cup of tea and consider whether application of heat or penetrating fluid might help (but not at the same time!). If it's clearly not going to come apart cleanly, also consider whether cutting/grinding/splitting the offending fastening would be less likely to risk collateral damage to other components.
If you're contemplating using a grinder, think about where the sparks might go. Apart from causing a fire, they can be hot enough to both ruin paintwork and melt glass.
Sometimes with rusted fastenings, using a socket of the 'wrong' size (possibly from a different thread group) will give you a better fit.
One thing that's always worth doing before using an impact tool is to think where the impact forces are going, and be very wary if they could result in point loads on bearing surfaces, as this is likely to ruin an otherwise sound bearing. In this respect, roller bearings are less likely to be damaged than ball ones.
