Well, I have never done a lot of this kind of thing, putting rhinestones on anything. But I'm guessing that, like so many other things, it would depend on several factors like what size rhinestones you're using, what the item is you're putting them on and what kind of use it's going to get.
I'd choose the clamp on method for larger rhinestones and if it's for costuming or wearing on any reasonably substantial fabric--jeans, jackets, vests--as adhesive of any kind would def give way being pushed, pulled and abraded during wear.
On the other hand, if you're using small rhinestones to make pretty little designs like butterflies or something and if it's some fragile little scarf fabric, or a delicate silky or satiny thing, you might not want the extra bulk and weight of a metal setting used in the clamp on method. The metal setting also has a visual impact, so that's another consideration, how would that play in your design element.
So ya know ya gonna have to get both kinds!!
Shylaah