Depends on what you are going for. If you plan on animating your model or swapping parts of on your model, having separate parts is a must. Even if you don't plan on animating or changing parts of your model, separate parts is still totally fine.
In the end, it's just a matter of deciding what looks good or not. If you model something and it looks good with separate parts, it probably ok. If it doesn't look good, I would consider taking alternative methods to approaching it.
I'd try out both and see what works for you. Best of luck.
