Either way could be made to work and has pros and cons.
If it is a USB joystick and you already plan to have an application on the PC, I would think that connecting the joystick to the PC (and having your PC application read it, and send steering commands to the Arduino) would be the better approach. This means you could easily swap joysticks or use other types of control (via on-screen widgets, under software control etc).
On the other hand if the joystick is actually just a couple of potentiometers then it would be easier to read those directly at the Arduino - but in this case the joystick would be hardwired into your solution.