Its really a matter of preference really. XWE can do a better job at converting graphics to the doom palate usually. XWE always saves no matter what you do, while SLumpED warns you like most programs. XWE tries to fix what it thinks its wrong, which actually can make the wad not run. The good news is that you can turn this "feature" off, by clicking off the "preform clean up on exit". I personally think SLumpED's Texture menu stuff is easier to understand. You can try both and see which suits your needs.
EDIT: The new SLumpED does have lowercase lumps, its just that if you load the wad again, it converts it back to uppercase. Its still better to use XWE for characters in my opinion since it does the offsets for you, which is needed for the game to know where the sprites are placed.