I wear both, so that I've always got one even if the other breaks, and I keep the lanyard whistle in my mouth until the snap. What I've found is that when I'm working B, U, L, or H I use the finger whistle a lot more. As an R, though, I rarely use the finger whistle, since most of the time I'm only blowing the RFP.
As Al says, individual preference is what's important. I can't imagine a supervisor really caring either way, as long as proper form is used with signals, though I'm sure that there are some supervisors with strong preferences one way or the other.