Your choice!
For me, it depends the "look" that I want the quilt to have.
Most times, I probably go like ThimbleBug and use an assortment of matching threads.
Less invisible, plus if I goof up and am not as precise as I would like to be, it will show less.
Though going with a contrasting colour can give a nice different look.
Contrasting throughout the whole project with one colour, works too.
Like has often been said before ... there is no one right way, but whatever you choose, is your right way!