If it's only a sketch - then all at once, but if it is a finished track definitely channel by channel, dry, centered (maybe i should multitrack, but i always fuck up the levels or forget something and then have to record again).
This way i get tracks ready for mixdown. It's a bit boring, but you get every sound on a separate track with good levels.
If you record all at once, what can you do with it? You guys don't mix straight from your hardware and then record the final mixdown, do you? That would be a cool process, but it would require lots of gear and fx. A proper studio.
I'm not saying it's impossible to get a decent sound with live recording, but recording separate tracks will definitely give you more control and more options, especially with eq and compression of individual channels (unless you have a bunch of compressors lying around).
And you can apply different techniques of recording do different sounds using preamps, tapes, harmonic exciters, different microphones, recording in different rooms, whatever you think of..