If you can, it's better to connect the sub to the pre-outs. You may also want to consider purchasing one of these:
Install the high pass filter between your pre-amp and your amp. The filter will remove the bass that your sub handles from the signal sent to the mains. This will give you much more headroom for the mid and upper frequencies handled by your mains and may also help prolong their life. You'll need to decide which crossovers you want. What kind of speakers are you using?