1. During a game, pause it, turn off Deck.
  2. During a game, exit it, back to Deck usual menu (e.g. Library, Store, etc.), turn off Deck.

I usually do the 1st way 'cause it virtually has 0 second wait time if I want to resume gaming by turning ON the Deck. But if I want to preserve more battery power for later use of Deck for the remaining time of the day, which way is better?