Should I use DXF or STL files?

Without a doubt, STL- and if you have the option, use a binary STL.

STL files do not have the compatibility problems found in the DXF format. Both ASCII and binary STL files are supported but binary files are smaller and tend to be slightly more reliable.

Almost every 3D CAD program will have the option to output an STL file so I suggest that you use it whenever you can.