Its a matter of personal choice! I use a weight belt with pockets into which I load shot bags - currently I use 12 kilos in 4 pockets of 3 kilos in each. I also use 0.5 kilo ankle weights. I've used this set-up for long enough for the belt to show wear and never had any problems with it. Mind you I also use a 12 litre dumpy cylinder and a 3 litre 'pony' bail-out cylinder as matter of course too, and this is a combination that many criticise as being uneven - again I don't find it a problem.
I reckon one unit with everything in it is asking for back trouble myself, and anything above twinned 7 litre tanks is also a weight problem. Although I'm not a great fan of Health & Safety (who seem to invent problems to deal with much of the time), I have heard of firemen saying that the weight some divers carry is unacceptable under their regulations!
In my opinion you need to experiment to see what works best for yo, in the conditions in which you dive, and the surface conditions too (hardboat, rib, shore diving). I like everything seperate and distributed myself, and have never found much of a problem with viable buoyancy adjustment once everythin ha been sorted to my liking.
I've never tried a weight harness as I've never really got to grips with the way they hold weights! By all accounts many people find them extremely comfortable, but I'm very happy with a shot bag belt.