Both ways are possible. But I can give you a few notes:
* XCode itself is the best IDE for rapid development in C*+ . QtCreator is the best for code mantanance. Other variants like Visual Studio 2012 and Eclipse CDT are not so convient.
* Android emulator is slow and setting up native code debugger in Eclipse is hard. Eclipse* emulator also need computer with ~8GB memory and will slow down whole system otherwise. So port to android at final step, but try to avoid using platform-specific APIs, or create own cocos2d extensions with multiple platform-dependent backends.
* Right now win32 version have issues in CocosDenshion: no volume control and mp3/ogg support. You should maintain project file for Visual Studio when using windows. You will not see perfomance issues running game directly on windows.
So XCode + ios simulator + ios and android devices for periodical testing is the best choice for indie developer. Actually there some personal flavours, for example, I have deep knowledges in QtCreator (and some contibutions to qt-project repository), so I prefer QtCreator+Linux for any prototyping and can avoid common problems of such environment.