You can direct link at first since it's easier. Although, you should realize that you're probably not going to be the only person direct linking. So all of your competitors and you are going to have the same landing page and you're not going to stand out.
It depends on the niche and campaign, I have more success with direct linking on a few particular campaigns than I do with a landing page. Although, that doesn't mean my landing page couldn't be better and have higher conversions than direct linking.
When you say, "do you bother building out a landing page", it sounds like you're making it out to be a chore. It's not like that, think of your landing pages as a store-front you need to put thought into it and make them stand out from your competitors.
You also need to split-test landing pages so it's not just one landing page that you're bothering to build, you have to split-test many to see which converts.
If you can't get the landing page to convert then maybe you need to hire/outsource somebody to build the landing pages. Being a good web-designer in this industry is a big help, or else you have to spend money to get somebody else to do a quality job. Then you also need to have quality content.