Doesn't really matter, or rather "It depends"
You can try to strain if you'd like, it will likely result in less crud in your fermenter. I don't really worry about it, that stuff will typically drop to the bottom anyway, and I just don't rack it off when I'm racking the completed beer into a corny.
If you use an immersion chiller and whirlpool you'll typically pick up less junk too, so straining may not be necessary. Straining often times leads to a plugged strainer and high occurrences of swearing at inanimate objects.
the "Correct" and "Best Way" in this circumstance is subject to interpretation
Primary #1-Oatmeal Stout
Primary #2- Empty
Secondary #1- Empty
Kegged- Cream Ale
Someday/ Maybe/ Getting There- 'California Common', Impromptu IPA, Imperial Stout