The advantage of pulling shots into shot glasses is that you can keep a closer eye on volume. It's hard to gauge volume in different sized latte cups.
The advantage of pulling shots directly into the cup is that you don't lose any of she shot/crema/heat in the transfer. Also, you don't have shot glasses to keep clean.
At my store, we pull all of the shots into demi's and then transfer into whatever cup. I do this to keep a close eye on volume, and also the demi's retain heat much better than glass. We just use the hot water tap on the bar to rinse them after each use, and keep them full of hot water so that they're warm.
if I'm making a 12oz drink or something in a house mug, I'll pull directly into the cup so as to not leave any espresso or crema in the demi toss. our house mugs sit on top of our machine to keep warm. 16 and 20oz cups don't fit so I'll use demi's for them.
maybe it's all in my head, but I think I get a better head of crema and better defined latte art as well as more speckled shots when I pour directly into the cup.
The less you move the shots before applying the art the better. Most new espresso machines are designed and built to be able to put most sizes of cups under the groups.