the sub leads should ideally be connected at the amp end of the speaker cables, not at the speaker end. That way the current drawn through those cables by the main speakers, and any consequent voltage drops that might result from interaction of that current with cable impedance, will not affect the signals to the sub.
This is as debatable as the long interconnects vs. long speaker cable argument, as there are pros and cons to each approach. While a technical argument can also be made for connecting the sub the speaker's binding posts, simple logistics makes the strongest argument.