I've done both. It all depends on your grill and what you are trying to achieve. If you go the pizza stone, it's not techinically grilling, I wouldn't think. Make sure to pre-heat your stone for at least a good 30 minutes, though. I haven't directly grilled a pizza in awhile, but I need to do one soon. I miss that style. Thin, crispy pizza. Grill it, remove it, flip it, top it and throw it back on. Good stuff.
I use a stone but have had trouble with the bottom burning before the toppings are done. I have tried preheating, placing coals indirect and direct both. I need to experiment more because the flavor is awesome. I did a cajun pizza with sliced andouille and shrimp. It was awesome.
Weber 22 1/2 Platium Weber Smokey Joe Platinum WSM
That's how we often do ours, Baychilla, but using some spacers between the plate setter and the stone so that there is some airflow underneath. Lately, I've been skippig the plate setter and using the Adjustable Rig from Ceramic Grill store instead and trying to get it higher in the dome. Have you tried grilling any directly on the Egg?