For dynamically posed sprites like this where you'll probably want a lot of rotations and squish & stretch, frame animation is best. For that, sketch your key frames (either as rough line sketches, or as colour blobs, whichever you prefer), get the timings down, then refine with inbetween frames. Then, do pixel polish on all the frames.
Skeletal animation, where the characters are composed of a bunch of segments that are rotated and scaled to create motion, works better on high-res art, where you can scale and subtly move things without distortions. With pixel art, it tends to fall apart as soon as any "3D" motion (rotation of the body, movement towards/away from the camera) is added.
That said, for complex-but-2D motions, I think skeletal animation can be a useful tool as an intermediate, because it's easier to iterate on the timings of a complex motion when you can just move bits around without having to redraw them. The results can be rendered to a frame animation and manually cleaned up. If you have a decent idea of what you need to draw though (or if you have good reference), then I recommend starting with key frames.