Try it both ways. Most systems are not sensitive enough for you to tell the differance. Since there doe seem to be a tilt toward coax, you probably might feel better using coax on your primary feed, which I assume is your CD player and then you can use toslink for your DVD, Satellite or whatever.
My own toslonk is a glass one from wireworld and i use Acoustic Zen for coax.
My own toslonk is a glass one from wireworld and i use Acoustic Zen for coax.