I do all three approaches you mention, but tend to go with the second more often than not – I’ll sample the hardware ASAP (while keeping the original MIDI, etc., that drove it so I can rerecord as necessary), usually a phrase at a time.
Renoise handles hardware fine, just look out for latency, and you may find (as I have) that you’ll also want to sample the hardware ASAP because Renoise is basically a sampler and it’s just more efficient to work with samples.
One issue I sometimes have is finding the correct input gain, but that’s more of an interface problem than a Renoise one. By default, audio input into Renoise is attenuated quite a bit. This becomes a problem if you have noise in the signal path (a lot of older synths will as a rule) and later want to normalize the samples – the noise becomes audible and can become difficult to reduce or remove unless you prepare for it from the beginning.
Sampling note for note to make multi-sample instruments in Renoise is easiest to do using the pattern editor (rather than manually recording each note by hand in the sampler, which is extremely time-consuming). Create a new song, set the pattern length to the length you want the samples to be (for e.g., set the BPM to 60 so you know each beat is one second, etc.) then put the notes (with velocities) you want sampled at the beginning of each pattern, and appropriate note-offs, and render the song (did I explain that clearly?). Hopefully one day the “render to samples” function for plugins will be extended to outboard gear.
Honestly, to multisample hardware, I generally use Extreme Sample Converter, it has a great auto-sampler for hardware, you can just set it up, let it go and do something else while it works. Then save it as SFZ, import into Renoise. I don’t recommend buying ESC, though, because although the author still accepts orders for it, he hasn’t updated it since 2011 and I don’t believe he will again. It’s already showing its age. It is still pretty great for making multi-sample Renoise instruments, though, they’re great fun.