If I use gelatine in cooking I use powder. It's easier to store in my pantry if for nothing else. If substituting one for the other, you will need to ensure the ratios are factored in (however, I'm not sure of what the ratio should be however, I've been successful working off a 5:1 ratio) when substituting sheets with powder.
As I try and cook clean and healthily, I'm more prone to use arrowroot or tapioca flour as a thickening agent.