The end result will be the same: an XDP within an application.
If you use the Designer embedded in Workbench, then you'll get some advantages, like versionning, it'll check-out the file automatically for you, you can access resources (images, fragments) from within the application,etc.
However, there's nothing wrong in using the stand alone Designer dragging the file manually.
We're just trying to keep the developer in the same development environment as much as possible.
Jasmin