by shooting the color checker in a sunny day and then define a calibration preset in the Color Calibration module for all the images taken with the same camera
This is recommended if you want to do a generic profile. This is what I use for street photography and candid shots taken outside, where I can't and don't want to carry a colorchecker to shoot on location. Let's be honest : it's cumbersome and overkill in most cases.
by shooting the color checker during each of my photo sessions and then define a color calibration for only the images taken during this photo session
This is recommended if you want to achieve maximum quality, for professional use. This is what I do for assignments, fashion/promotional shoots, anything planned ahead.
The purpose of using color checkers reference shoot is to speed up the editing process by having a white balance/enhanced profile to automatically set color calibration. That would be when you have many pictures to edit, that were shot in the same setup, and you take a couple of reference color checker shots.
Now, if every next picture on your memory card is a color checker reference shot because you change setups all the time, color checkhers are actually slowing your process down compared to color tuning visually/manually with sliders.
The best option is the fastest, except perhaps in those rare case where you may have colored bounced light that will give you an hard time with the manual approach (but the automated profile computing may still need to be manually adjusted later — use your best judgment).