As for lightroom it depends on what you want to do with the files. Sure you can copy them to the hard drive and just add them from current location. But for example. I personally convert all my CR2 (raw) files to DNG (digital negatives). Also since its paramount I keep my files organized, I just let Lightroom import them. This actually makes things simpler as it eliminates extra steps and keeps from having to have multiple windows open.
In Lr, when I choose to import. It gives me options of what I would want to do with the files, were to put them, how to rename them and if I would like to do any post batch processing. Also will auto eject/unmount your SD card for you. While I normally elect not to do batch post processing. It would make shooting portraits like for a school much faster..
But it all boils down to personal preference.
Now my only exception to this is video. I open the DCIM folder and pull those out to my desktop. But thats because I don't want them in Lightroom, well most of the time.