You can do either. I would suggest OS X for the simple fact that you won't have to boot into Windows if you want to play that specific game. Depending on the GPU, a small difference in frames in the Windows clients were reported - not sure how accurate that is.
It'll depend on the specific game and your drivers. It could really go either way, game to game. I would recommend doing whatever you find the easiest and if you have issues, try the other route as a backup.