Premiere Pro / Adobe Dynamic Link
Dynamic Link workflows in Premiere Pro
After Effects / Dynamic Link and After Effects
I don't think there is one best way. It'll depend on your media, the effects you'll be using, and your hardware.
The two major options are to key the clips first in AE, then export them out for editing, or to start the process in PP and send the clips over to AE via Dynamic Link for keying. Both are valid, use whichever works best for this project.