In my limited experience, it seems like I might prefer a bit of both. The one foal I've raised since birth was accustomed to being away from momma at a very young age because I would often take him out while working on his manners and training. Leading, tying, farrier, baths, etc were all done away from his mother for relatively short times...usually no more than 15 minutes to start when he was just a few weeks old and working up to a couple of hours.
After that, when I was finally able to wean him at about 9-10 months (didn't have adequate fencing to safely separate them before then), it was as easy as taking him away from his mother, keeping him in a pen for a few days, and then turning him out into the big pasture of geldings. There was very little calling during the first day and none afterward. Neither of them really even noticed they had been separated.
However, if it's a matter of one or the other, I would go cold turkey. The sooner you get the baby completely off his momma, the sooner she can start keeping all those nutrients for herself.