There's no one answer to this question, as it's individualized for everyone. Each artist is different and has different needs. If your band and crew are hands on, always working, DIY-minded and doing a great job of drastically increasing your fanbase every month, getting press, booking tour dates, securing licensing opportunities, and hiring professionals (radio promo, etc), then continuing on that path is often best.
If you want to focus more-so on the music itself or you know that you're not the kind of people to work as hard as, say, Dillinger Escape Plan, delegating some tasks might be better. Although, the ironic thing is, if you just want to be a musician and get whisked around, no label is interested in you!
So either way, it's best to press ahead aggressively using every tactic you can, and make sure there are no weak links in your band.Hardworking bands get noticed if they have good material.