It looks like Debian Jessie no longer creates an Xorg.conf file by default and is detecting/generating settings on the fly each time X starts.

If I want to change something (resolution, DPI, etc.) it sounds like I have two options -- generate and then edit an Xorg.conf file, or put an xrandr command someplace it will run every time X starts (probably under /etc/X11/Xsession.d/ ?).

Is there a "preferred" method, and if so, what should be considered when choosing one method over the other?

It has nothing to do with the distro in use, it's been that way for a long time now with contemporary Xorg server versions.

The desktop environment might influence your choice here. For example, Gnome and KDE may change the display resolution (generally to the detected native display mode), even when a custom Xorg config file has explicitly set it to something else. Both of these DEs have their own (xrandr-based) display utilities to set the desired display mode at login for a given user, and similar utilities are available for other DEs, or even a basic startup (.desktop or script) file can be used.