I think it depends on what kit you have got to hand as well. If you have got a spare hive and want bees in it, it is just as well to take the hive with you and try and get the bees straight into it, as Silly Bees says. However, a hive collection might not work if the swarm is an awkward one and you will have to give some thought to sealing it up for transport home.
You might not get a big swarm in a nuc box with frames. But that same swarm might fit in something like a skep in which it will cluster.
Strip of leather hanging down from a skep on which the bees can cluster is a good idea. A swarm does not like to be spread of the wall of a container.