Drag and drop, without a doubt. On Mac I use an app called Cinch which lets me whip the window out of the way and maximize it again easily.

Sadly I had to drop the Drag & Drop Featured Images plugin, because it had a very annoying bug. The popup modal doesn't allow you to filter the images to only show those attached to the specific post. Minor? Yes. Annoying when you're editing posts from several years ago? Also yes.