I have done both.
I have my own incall flat currently, but I live where I work (I know it's not that common)
However I used to rent another separate place, which is all well & good until you have a quiet period or you may want time off- you still have the extra overheads to pay.
It just didnt make sense for me to be spending the extra cash- In the south east renting is very expensive unfortunately.
The good thing about hotels is that you pay as and when you need it, but show your face to often at a hotel and they may end up getting suspicious, always good to swap around.