It depends on your circumstances. There are, however, several things to consider:
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CSS added to Additional CSS is added inline in a <style> tag at the head of every page. This means that if you have lots of CSS you’ll increase the size of all your pages individually. So the browser will be essentially forced to download your custom styles multiple times.
On the other hand, while adding CSS to a stylesheet file means that the browser needs to download an additional stylesheet, it also means that the browser can cache the file so the additional styles don’t need to be downloaded again for each page.
Setup
If you go with a stylesheet file you have to set up a child theme. This means you need to create a new theme directory, create a style.css file, including the theme header. Then you need to create a functions.php file to properly load the stylesheet, as well has the parent theme’s styles. Parent themes all work differently, so this process can be tricky.
So creating a child theme is a lot more effort that just using the Customiser.
Maintaining
Adding CSS to Additional CSS means that you need to use the editor in the Customiser, which is quite narrow, and not well suited to large quantities of CSS.
If you add them in a stylesheet though, you can use whichever text editor you like, at a more comfortable size.
Given the above, my suggestion would be that if you’re making small tweaks and changes, then use the Customiser, but if you want to significantly change the design with lots of CSS, create a child theme and use a stylesheet file.
Not that you mentioned it, but just to make to clear to any passers-by: under almost no circumstances should you edit your theme’s stylesheet. You should either use the Customiser or create a child theme.