I'd use the coax because it's a bit simpler and cheaper, especially if you don't already have the XLR cables .
The biggest weakness with records is the records themselves, then the phono cartridge which will have frequency response variations.
The capacitance load on the cartridge (which includes the capacitance of the wiring in the turntable, the connecting cables, and the preamp) is usually unknown and it affects the high frequencies and the "interaction" complicates things. You can't always be sure which preamp will work best with your setup...
If you compare the sound of the preamps, make sure to do it level-matched. The most likely difference will be background noise (hiss or hum), but level match the signal because it's the signal-to-noise ratio that matters... If one preamp has higher gain the other the noise might also be louder but when you turn it down to match the (signal) loudness, it might be the same as the other one, or better. And again, the surface noise of the record will usually dominate once stylus is in the groove with the record rotating.
And if you think you might be hearing slight differences that you can't define as obvious noise or frequency response, it would be best to do a blind listening test.
ABX.
Controlled Audio Blind Listening Tests
And with frequency response, the record makes a difference so you might end-up "matching" a particular preamp to a particular record. IMO - With records it's often best to just use EQ/tone controls.