I usually do set a seam and then press to one side. It appears that setting the seam pushes the thread into the fabric and makes it flatter. As to finger pressing, it seems it depends on the fabric I'm working with. Some seem to do that very well but others need a little convincing with the iron. I rarely press seams open unless the pattern recommends it. To me, that might leave a seam weaker but then how many years of garment construction and we pressed the back seam of pants open!
As with all things in quilting, whatever works for you becomes "the right way".