Hi
When we built WatchFolder, we considered your approach. (You could alternately use the Workflow API's directly, instead of the Web Service interface.)
The nice thing about doing everything as a Workflow is that all the logic of your application lives in a single place - it can be designed and configured by anyone with a copy of WF designer. It also all runs in the same place.
WIth the external program, there's another piece that needs to be configured and managed.
Howard