AdWordsAdvisor - 1:51 am on Mar 4, 2010 (gmt 0)
ogletree and SanDiego Art have both given you essentially the same answer - and it is advice with which I would also concur.
I'd say that what they have both described would be considered to be the best practice (and I agree that it offers you more control) - though there is really nothing to prevent you from trying it the way you've described. Perhaps just give it a shot.
I'd underline the fact that, either way, only one ad will ever show for a given query.