I don't know what is better for you, you have to evaluate the results and determine that for yourself.
Personally, I have found that I get more benefit from the paraliminals when I go into the hypnogagic state for a while during the session -- the suggestions seems to "take" better and i notice a larger immediate difference in my behavior and thinking.
And in the past, that has happened more easily when I was fatigued at the beginning, there was just less of my mind running around in circles.
That is just me. Some people may prefer to remain conscious during the session; after all, there is also an active component to each paraliminal.
Maybe it would help to try writing down one benefit you have felt from your listening session -- even if you can't think of anything, make something up. Seriously.
Make up a benefit that you COULD have received, or that you would like to see next time.
Than listen again the next day, and try to notice something again. Eventually, you will notice a benefit that is "really there".
Perhaps you just need to refine your powers of observation a little, your sensitivity to changes that are happening, that you may not be aware of.
