I have tried it both ways, and at least for my setup, I have found that adding grain to water was significantly easier and ensures that the grain is uniformly wetted. I pour it in not-too-fast while stirring with a 22" whisk I bought at a local restaurant supply store. The whisk prevents dough balls.
Another advantage to adding grain to water is I can take a temp of the mash water before adding the grain, and adjust accordingly. Finally, if I'm going to be splashing myself anything, I'd rather it be milled grain than 168-degree water.
I do slightly preheat my 5-gallon MT with a gallon of hot tap water, just to take the chill off. I hit my temps, which is what matters!