It depends somewhat on the type of stain you are using, the wood your are staining, and depth of color you want to leave behind. The thing to remember is that to the point the wood will not hold any more stain, you can add more color with multiple coats. If you put the stain on too heavy and do not wipe the excess, you could end up with something darker than you expected or wanted.
Soft woods like pine and fir will absorb more stain and faster than hardwoods like hickory and oak and you can get obvious over saturation points where your work overlaps if you do not even it out quickly as you go with a cloth.
I don't think I have ever stained anything where a cloth or two was not used in the process at some point. Messy but no other way to achieve the desired look.
Brushing the stain on and chasing after the excess with a soft cloth is sort of a hybrid approach to the two options you mention. I always preach good brushes for anything and the same for stain I guess. Staining may be one place where I could see using inexpensive foam brushes to put the finish on with a cloth ready in the other hand to blend it in.
If you opt for gel stain you will probably want to wipe it on.
Don't be afraid to ask the folks at a real paint store for advice and recommendations.