I recall a discussion about that quite some time ago, and the general agreement was it's best to use fate when you need it. Wounds are better than fate because you know where you stand. Concrete knowledge is better than probabilities.
In principle I agree, but it's important ro remember that the knowledge thing goes for your opponent as well, if you have more information then so does he.
When it comes to my previous point. Let's say that you suffer a wound and still have one or two left. You choose to use fate but you roll a 3 or even worse, a 2. Now let's say you elect not to use Might and thus suffer a wound. A few turns later you are wounded again (your last) and you use a fate roll. This tme you roll to low to modify it with might, thus your hero dies. My point is that by doing this my way you remove most of the dilemma.