I think it depends on the details and fees you will pay on the conversion, if any. If you can convert every paycheck with no fees, you will probably be better off using the 401(k) due to flexibility.
I also have both options, but I choose the IRAs, because mine has a fee and some more limits for the conversion.
Once I defer to converting every 6 or 12 months, I end up with gains (usually).
If I roll over to a Roth 401(k), then I pay taxes on the gains, so I have more current income.
If I roll over to IRAs, I can split the contributions (go to Roth) from the gains (go to Traditional IRA). In that way, I extract the money (and pay the early withdrawal fees) once a year, and pay no taxes.