You should leave it in gear and use the e-brake. The e-brake cable can be cut, and if you don't leave it in gear, a little pushing or any kind of tow and your car is silently gone. Also, using the e-brake will prevent stress from being put on your trans if you are on a slope.

Stop, pull the e-brake, turn your car off, then let off the clutch while your car is in first.