Slight problem with that Khaaan! Your advice would be fine if the majority of games had a decent headphone mode. The vast majority just do left and right stereo planning. There is no 3D information there!
By all means use hi-fi mode for something like L4d that has a half decent headphone mode (although I prefer Dolby Headphone). For everything else, you rely on the soundcard for positional audio.
To the OP - try both and go with what suits you.
Edit: Khaaan - I have a lot of time for the 'audio purity' argument but unless you're using a binaural recording, using HRTFs with headphones arguably gives you a something closer to the intended experience. Game audio comes down to simulations and HRTF tech like Dolby Headphone and CMSS-3D are just part of the simulation.