I don't believe there is a wrong way, but maybe a way that works best for how you intend to use it.
I've personally found that just opening the circuit sometimes introduces a lot of noise, especially if you play with high gain tones. By dumping the signal to ground instead of just opening the hot end of the circuit, it eliminates the noise from stray induction and whatever else, but there might still be a tiny bit of signal that somehow makes it through (there shouldn't be, but my guess is that the switch has a small amount of resistance, so some signal leaks through.
Maybe the best way to do this would be to both break the circuit from the pickups and short the output jack hot to ground simultaneously, but, for my purposes, sending the signal to ground at the switch has been good enough.
I have kill switches on four of my guitars: one is a momentary push-button, one is a full-sized toggle, and the other two are mini-toggles. I have them all wired such that the signal diverts to ground when the switch is "on."