[Roushey]

That way works, but it has some issues.

When you link an object to a biped, the biped will assume it is a part of the bone structure for anything else you assign to it with a physique. So, you will get some unwanted results if you want to use both methods on the same model. The physique technique may take a little longer, but it can save you some headache down the road.

Furthermore, you can also use this technique to augment your biped. You can add bones, or objects to the biped for say, facial animation.
Long story short, I don't advise using link unless its to add more bones.