You should be able to do it either way. Just keep in mind that when you have an exit, it's actually two different exits, one going each way. You'll need to be dealing with the one leaving the new room and coming back to the old room.
In fact, if you don't want them to be able to go back, you can simply delete the exit pointing back to the old room. You'll still have one pointing forward, but not one pointing back. Then you won't need to code anything.