I always use the class method where possible because it results in less verbose code and if you are simply going to return the object to the caller you'd have to autorelease it anyway, if you obtained it with alloc.
The advice from Apple was poorly worded, in my opinion. People seem to be taking it as a blanket ban on autorelease. That's simply not the case. You just have to be mindful that autorelease comes withy a memory price, but it is not as high as you might think. Each runloop event except timer events comes with a new autorelease pool that gets drained on return to the runloop. So if you know the method is going to be quick there's no problem. Also, if an object is going to outlive the current event, there's no issue because the overhead ofd an object in an autorelease pool is quite small and draining the pool won't dealloc the object anyway.
The only case where you need to be careful about putting objects indiscriminately in the autorelease pool is where you have intensive processing creating lots of temporary autoreleased objects. You can relieve the pressure of these methods by creating autorelease pools and draining them as you go along. e.g.
while(someCondition)
{
NSAutoreleasePool* pool = [[NSAutoreleasePool alloc] init];
// intensive processing
[pool drain];
}