I've used both methods (PHI and Setup Room) with equal success. The big advantage of the PHI method is when you have a tool like PhilC's hierarchy builder (or one of the others) it reads and matches all the bones from your .obj, avoiding typos. You can then also set up rotations and IK chains in a tree view and inspect it before creating bones. Since I touch every single joint several times in the joint editor to setup bends and blends, it doesn't matter to me the bones are all linked up head to tail on the first go--I just fix up my bone pointing as I go. (The align button in the Joint pallet is a go-to as I'm fixing things up.)

Manual bone setup works well (the setup room has been quite stable for me these days) and it's visual. It also allows you easily borrow rigs from other models which is a handy time saver for conforming items.

With beginners, I usually tell them to do it by hand in setup room because they can see what their doing more intuitively. However, when repeatedly fudging with geometry and such, I like to avoid all the bone name typing that a PHI building tool saves me.

On a Mac, I used to run Parallels or VMware fusion just so I run a number of Poser tools like Easypose, D3D's collection, etc. (I converted to PC's about six years ago.)

Cheers!

-K