Coders 4 Africa

Basically it depends on the situation. And the word better should have it sense .
extending JFrame or using an instance to attach control are almost at the same level of performance.
The key is how easy its going to be for you.
if you need to have many controls in the window it's easier to extend because you will end up having many GUI code so it make send to put in one place (e.i in the JFrame class)
if you need one single control you can use an instance of JFrame. the last case is rarely used in pro apps that's even why most GUI designer alwayse extend JFrame , Form (c#) or
QMainWindow (qt) so I would advise you to take that approach. However remember to not put all your event handlers in you GUI code .
Always try to apply the principle of separation of concern. Also too many private class that are generated by direct implementation of ActionListner make your app slow.

I hope that help.