David, I do both, depending on application.
I just wired my trailer and every connection has solder and marine heatshrink, the kind that has clear goo at the ends when you heat it. I also ran the protected wires through the frame where I could.
I also ran a ground to every light(and to the brakes) as I don't trust trailer frame grounds. All lights are LED, so theoretically they should all work forever, barring a cut wire or something.
Grounds on trailers are ALWAYS the problem with lighting issues!