I prefer to do it at the tracking session. This habit started before plugins when a rack unit (gate, compressor, reverb, EQ etc) needed to be used twice ie at tracking and again at mixdown. These days with plugins I am unlikely to run short of signal processors but here are three other reasons why I think it is better to gate while recording -
1) it makes me think hard about the exact sound required for the song
2) it forces me to control the session properly. By this I mean not rushing, and ensuring that the musicians are in a recording mindset rather than a live performance one
3) there is a payoff at mixdown time. Instead of starting by fixing problems I can get straight into
making a good thing sound better - a much nicer way to be mixing.