I would suggest doing some experimenting with the *particular* pallets you've got on hand. Some disassemble ok; others it's real hard, sometimes darn near impossible, to take apart without splitting the pieces.
When it's possible, disassembly gives you more flexibility (at the expense of a lot more work and slightly weakened wood, and a bit of loss due to damage). But for some pallets, or for things that happen to be easily assembled from whole or nearly-whole pallets, that can sometimes be a better idea.
Good luck, have fun,
Pat