I do a mix of both having central libraries for generic common parts (passives, micros etc.)
Then I'll have project or customer specific libraries where there's a 90% probability that I'll never use those parts in a design not for that customer
Personally I do tend to use the integrated library projects, that way I can keep text files (TODO lists) etc all together in the project.
I think more important than how you store your components is getting a consistent approach to schematic and PCB components that take into account things like how you want to produce your assembly drawings.