The first time I read The Rise of Kyoshi I listened to the audiobook. I then proceeded to read The Shadow of Kyoshi on ebook. I eventually was gifted the box set (the one that has the extra annotated scene) and since then I’ve read them physically.
I think reading physically is the best way. The audiobook is really solid though (I now know how to pronounce the names correctly).
I think it depends on the reader (or listener). There is no one best way, it's subjective, and each person may have a different preference. I first listened to them on audio, then I bought the books, so I'm kinda torn between the two.