You can do either but it will depend upon what type of sex worker you want to see and your individual needs and desires. It will also depend on your finances.
If you live 30 minutes away from the nearest sex worker or brothel it might be cheaper for you to go to them, rather than having to pay for their cab fare and their travelling time there and back. Some sex workers choose only to work in a brothel or from home and will not do outcalls/escort work. However, if there are access problems at the nearest brothel (for example, three flights of stairs you cannot get up) then you may need to find a sex worker who is willing to come to your place.