There are no rules, do it however it works for you.
I started with purees, but despite a very enthusiastic first week, the novelty wore off quickly and he refused anything on a spoon. Slightly stressed, I started reading up on BLW and that's worked really well for me. I did buy the Gill Rapley book, but it didn't really have anything more in than I found on mumsnet or other websites. However, I'm not a 'real' BLWer in that I still give DS yoghurts and porridge from a spoon (he loves it!) and recently I've been giving him some food on a plastic fork (he's worked out he gets food even quicker if I feed him alternate mouthfuls). But it works for us.
In my opinions, the pros of BLW are that you don't have to make any purees or feel like to have to force feed a 'portion', you get time to eat together (rather than having to snatch a sandwich while he sleeps), you don't have to worry about moving from smooth to mashed to lumpy purees and in general it was less stressful.
On the downside, it does feel very out of control at times, they carry on taking a lot of milk for much longer than puree-fed babies (in my experience anyway), more food gets wasted (although sometimes you still have to throw out refused purees, which is heartbreaking when you've spent hours slaving over them!) and it worried me that it took so long for him to move from playing to eating food.
A lot of people I know started BLW, then got too worried that their LO wasn't eating enough, so did purees too.
Having weaned one baby like this, I would choose BLW again.
And finally, a lot of people went on about the mess, but I think this is probably more to do with the baby than the type of weaning!