I just flip a coin.

Well the key thing is if you want to treat each part independently then group. As above a body with eyes, you would just group them so that as you move the group about, all the bits follow along. If you have something like a wooden door made of numerous planks, then I would merge them, since I am going to want to treat them all in the same sort of way and they'll never move independently of one another. If you want to apply different shaders to different parts, then group, so if there are nails in the door, I want them to look metallic but the door to be wood, then I group the nails and the wooden parts.