On my tractors, I leave it under drive. I have never heard if one is supposed to be better than the other, but I figure it spins the transmission slower, which then uses less power spinning idle gears, and causes maybe less wear. I also put the transmission in low range for the same reason. Those constant mesh transmissions are always turning the gears, even when in neutral. 

Granted, I haven't read anything about that in a manual, it's just the way I do it. Now you have my curiosity up. I'll have to check a book and see if it says anything.