I do that. Set up my own house's wireless network, homeboy. Only downside is I never host a game on XBox Live.Either is fine. You connection speed is the bottleneck, not the connection type.
Not sure if you can have both running at the same time on your modem. If not, just get a cheap router and hook them both up. Then you'll be able to stream songs, etc. off your computer as well. You wouldn't be able to do this via USB straight to your modem.