Which type of approach is right depends somewhat on the goals you have in mind. This advice is broad! If you'd like more specific advice, please reach out.
- Saved Components - (in the left bar under "Saved") are often better if you need a specific component like a buy-box, a carousel, a product card, etc. That way you can drag it from the "Saved" section to anywhere in the page, including deep inside a layout that has other content in/around it. They're also good if you want to use something as a "template", where you drag it out then tweak things for the specific page
- Shopify Sections - (in the left bar if you search Section) are going to be better for a whole section of a page - usually a top-level block on the page that you can't easily put inside other layouts. This approach is also good if you want to edit once and update everywhere, since all Shopify Section components will always update whenever you change the section that they reference!