It's a matter of taste.
The advantages of the saitek software are that you get more buttons; as each button has potentialy six functions; and you can swap functions for axis and hats. So you can do a lot more with it, including programming macros.
The advantage of using the AH interface is that you can tinker with your stick set up in flight; and it's easier to manage.
You can still set an awful lot of buttons up with the AH mapper; as every button has potentialy four functions, but you cant make macros or swap axis around.
The easiest way to learn to use the stick software is to download other peoples profiles and see what they've done.