I haven't used VS 2008 to create InfoPath forms, though I have used 2005.
Using Visual Studio is better if you plan to have forms with code, and share them in source control among a development team. The form's parts are automatically stored as their individual files instead of an XSN, and these are included in the Visual Studio project.
If you create a form in InfoPath and then add code to it from InfoPath, the code will be created in a completely separate location of your hard drive (usually), and the path to the code will be stored as an absolute path instead of a relative one, which makes the project harder to share among a team.
Then again, if you only want to make forms without code (which I recommend if you can get by without it), then making the forms in InfoPath is the simpler option.