Hi,
There is no general rule as every project may require a slightly different workflow. However, in most scenarios, a reasonable balance between these two approaches leads to the best performance. It is not necessary to attach all these splines and manage all calculations in one or a few RC objects. However, having a lot of RC objects may take time to process them.
Using the Proxy Cache feature would be highly recommendable for these purposes. It's very efficient - it'll load and render much faster because RailClone doesn't need to perform so many calculations to rebuild them, which is especially useful for complex styles. In theory, there shouldn't be any significant difference between the Embedded / External mode though the Embedded might be a bit faster.
I hope that helps.
Best regards,