Should I use a master link?
The ones I've seen shouldn't wear any faster than the rest of the chain because the wear surfaces are the same - what's different are the side plates (and the notch around the end of the pin). If you look closely at how the powerlink is built it has the same elements as the rest of the chain, they're just held in place differently. The only time I've had problems with them was the old 8 speed ones when I used to regularly reopen them and they've become steadily easier to open until they were useless.

I found one report of faster wear here and a discussion here where Sheldon Brown actually measured things and concluded it wouldn't be a problem. The latter also features some good advice: 


  Don't worry about it. Just enjoy riding your bike. Too many people get
  caught up in the most minute of details and for some reason I tend to
  think they spend more time thinking about what's wrong (or what could
  go wrong) with their bike than they do enjoying it.