It depends on what I'm doing. If I need multiple pitch bends within a phrase (like a guitar riff), I'll do it with my index finger and middle fingers so that I can be close to my chords as possible. If I don't need to change chords that often, I play with my thumb - for far greater control.

I agree with Squeak-D: You get a far better guitar tremelo shaking the pitch bend wheel (like you would a guitar string) than with the modulations wheel. However the modulation wheel is great for adding a chorus sound to electric guitars!

Chony