It really is up to you. Things you may want to consider include how big you budget is, what your aims for the project are, how you want to be seen, and what quality you want people to have your product at.
Having said that, many people choose to release their music in both a physical format (E.G. As a CD) and as a digital music download to reach as many people as possible. This is the method I recommend, as you not only reach the people that only like to buy music online, but also the people that aren’t comfortable buying things off the internet and would rather go into the shop and buy music.
You may want to find out if you’re target audience are more likely to download your music or go out and buy it. Taking all these things into account can help you make an informed decision.