For a comparison of technique, here is my other Christmas Shawlette in which I did do transition rows between the skeins.
Both techniques yield beautiful results, so personal preference should dictate which technique one uses. For myself, I like the ease of no transition rows, and it definitely makes it easier to use up each skein before going on to the next, reducing the risk of running out of yarn. On the silver and gold shawl I had 20 grams of yarn left over, but on the green and red one I only had about 10 grams left over. If I had been careless with my transitions, I could easily have run out of yarn.