You can do both, but the preferred method would be to remove the card, put it into an adapter, then plug it directly into your computer. I would also transfer all data files off of the micro SD after every shoot.
When you load up your SD card, you create the following possibilities, all not good:
1. You risk losing all of your data if the drone crashes or flies away.
2. SD cards should be frequently formatted to retain their reliability, although I've never had a problem with one.
3. The card could fill up while you're in the field, leaving you no space for that great shot.
4. With the files safely stored in your computer, you can more easily manipulate and use the data in post operations.
You're going to be processing the videos anyway with your computer, so why not remove them from the SD card? If you're afraid that your personal computer may crash, store the files in multiple locations. Also, plugging your drone into your computer is awkward (-or at least it was awkward for me...I did it only once).