Add a vocabulary and a term-reference field or just add a select field?
As @reptilex mentioned, the answer to this question is going to vary depending upon your very specific situation.  There are a lot of helpful documentation resources and blog posts floating about with good advice about making this decision.

drupal.org Guidelines for Taxonomy Design 
blog - How to Decide Between Taxonomy and CCK to Classify Content
blog - Drupal Taxonomy vs. Content Type Field