Importing meshes with materials or assigning in unity

Hello everyone, Just starting out with Unity and I've been experimenting with exporting from Blender over as an asset. So far I haven't had a lot of luck during the import, in that I've only managed to grab the un-textured model and place it on my level. I had noticed however that you can assign materials within Unity.

Now, what I'm wondering, is what is the best practice when it comes to importing meshes? I mean, do you sort the materials and everything out in say, Blender, and then import as a whole, or is it best to import the basic skinned mesh and assign the texture within Unity?

I just don't want to run the risk of a drawback in performance above anything else really.

Many thanks!