Right, wrong, or indifferent, this is what I do when side milling. I will mill the edge with the cutter going in both directions; in other words I cut on each direction of travel. Be conservative with the amount of cut when climb millling. When I get close to my intended measurement (or just a smooth edge), I will then take a few thousandths off by climb milling as Rake has described. This typically yelds a smooth finish.
One thing I have noticed that really makes a difference for me is the speed and feed. I have to admit that I am one that doesn't figure optimum speeds and feeds for each cut, but then again I am not building parts for the Space Shuttle, either. But this is one instance that it really makes a better finish for me.
The cutter has made differences for me as well. I have both chi-com and US made cutters, and for side milling edges where the finish counts, I will use the US made cutters as they have produced better results for me. This may be dumb luck, but it has seemed to remain a constant in my shop for this operation.