I think that if you want a general backup (if you muck something up) then a general whole backup is good. However, if you want to swap out a patch for another one, then it's useful to do the one-at-a-time option. Also if you want to change 2 patches, and you haven't got a general dump for it, then you'd need to use the one at a time option.
Has anyone managed to use SendSx? I tried it, but decided to focus upon MidiOx.