For developing reactjs app/website the preferred way is to embed html with return of render function i.e. use JSX syntax.
You can use create-react-app npm module to get started with reactjs development with everything else already set up for developing reactjs components:
github.com/facebook/create-react-app

JSX for the templating (that is, the return within render) seems most common. Keep in mind the rest is still JavaScript (usually ES6 via Babel) so it's not really an either/or question.

You mean for file type or the way you write your code?