I've been back and forth over the years, mostly indie (started out in brothels) but when I've been in a tight position gone back to brothels because I've felt like I wanted to give up the responsibility of getting customers. Pros and cons:
Pro: Indie can be quite isolating and all the friends I've ever met in the trade have been through brothel work. There can be some great camaraderie and when you find some people you gel with its great to have people go to dinner together or drinks after work and decompress with etc.
Pro: You can shut up shop when you get home and keep your personal life and work life soundly demarcated. Its not that you can't as an indie its just that bit harder.
Con: But you can also meet some very competitive women who derive their sense of self from how many customers they get and compare themselves all the time, put down other women in the brothel if they feel threatened by them or spread rumours about women who are busy. You have to rise above this kind of stuff.
Con: I don't know how Scottish saunas work but brothels with line ups or even just introductions one at a time can be brutal. If you are an indie the guys who've looked at your profile and gone 'no' aren't in your line of sight and in the main you only meet the guys who've decided they like you. It can find quite annoying or even damaging to the self esteem, especially as I think there are guys who go into brothels who get a kick out of this, getting to pick women out like cattle at a farmers markets. Added, the days when you are not getting picked are a lot worse than days when your slow as an indie because you might be seeing other women being busy, and vice versa when you're busy and someone else isn't, it can feel awkward even though you know it 'swings in roundabouts', as in everyone has their good days. Again, you just have to go in knowing this and taking it in your stride and seeing the bigger picture - how busier you are over the month and not just a shift. Added, it can be hard if your shift starts slow to keep up the happy face needed to get the next customer to choose you.
Con: If you feel shit and can't bare another dude's hands on you you can't just pack up and go home like you can as an indie, you are stuck until the end of the shift unless you have a very understanding madam (a rare beast in my experience, the attitude of many I've met is that business is only successful when the boss is hardnosed).
Advice: If you are busy and others aren't don't make a big deal of it in any way else you might seem boastful, don't tell people how much money you've made and if someone is struggling to get picked don't mention it unless they bring it up. Its great to make friends and that can happen, but some women don't like even casual friendships with other sex workers so be a bit careful about asking too many personal questions unless people offer up the information. Personally I would be on polite terms with the management but don't get too friendly, I've seen women make friends with the boss only to be manipulated into doing unpaid 'secretary' work for them and being asked to be 'eyes' on other women. If a punter behaves badly, like pulls off the condom or is filthy, or if another woman steals your shit, don't be shocked if the management don't give a fig (until they get thieved on of course). And as Grace says, stay out of gossip and the rumour mill, its hard at first as people can try drag you in but in the end you come out better for it.