Proxy will alwaays be better option in this case, as it is adapter less framework, and communication happens directly with XI central integration engine. So it is always fast communication and gives good performance.
But still you should consider other factors, you may consider using RFC as well, as sometime we go for RFC/IDOC as this are the standard interfaces already available rather than creating structure...
May be you can share more info on what type/volume data are you planning to send via XI?
Hope this cleart your doubt..
Divyesh
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