I use both a gear and the parking brake. Personally I use 4th gear. My logic: If its hard to turn the wheels in 1st, it'll be even harder in 4th. Additionally if you forget either you're still got the other going for you.
Also, its called a parking brake instead of an e-brake for a reason. =] And there is truth that you do have to make sure that the lever is all the way up, anything less will not hold you on an incline.
Just something fun to consider: Why do people call it an emergency brake? What emergency was ever resolved by locking up your rear tires? Or is it called this because a crazy g/f suddenly yanking on it at 60 MPH will send you to the emergency room? I'd personally call it a Fun-In-Snow-Brake. Or maybe I-Want-To-Spin-Out-brake