Bassbull, I always go directly to the lure. The convenience of the snap is nice. It also adds a bit of an audible rattle which could at times be benefical. It does however inhibit the jigs action, and if you're after finnicky biters it gives the illusion of more size which you don't want.
I think it comes down to how aggressive the fish are. If they'll hit it then go for it. If you need to downsize because the fish are not aggressive than lose the snap.
Like anything else I guess you just have to experiment.
Trevor