In terms of speed and stability it comes down to this:
1. USB. The fastest there is, you charge your phone in the meantime and it's always stable. Downside: can only be used with PC's, only one at a time.
2. Portable WiFi hotspot: Pretty fast, multiple devices can connect at once, easy, works with nearly everything. Downside: when the WiFi spectrum isn't very clear (like at conferences) your connection won't be stable at all.
3. BlueTooth (with Xperia Link): By far the easiest to set up if you use Xperia Link. Downsides: not that fast, limited range, only one device can be connected at the same time, not all devices are compatible and it's stability depends on the same 2,4Ghz-spectrum that WiFi uses.
Hope that's clear. Xperia Link is the easy way, not the best way.