I've done them both ways many times myself. I learned the running method over thirty years ago when I worked as a mechanics helper for an older mechanic with nearly forty years experience. It was the only way he knew, and he would even set mechanical lifters with the engine running. He could tell by the sound of the engine and the drag on the feeler gauge when he had it right. I learned the static method a few years later. I would not say one way is better than the other, only that my preference is usually static on new cam/lifter installs but on used parts I will still sometimes set them running, as there have been a couple of times that I set used lifters before I put the motor in only to have to re-adjust them later to quiet them down. New cam and lifters is of course the best way to go, but I've done many poor-man rebuilds for people that could not afford more than rings and gaskets.
I don't know that it's necessary to prime new lifters before setting them static, but I usually do. You can feel the drag on the push rod when you get to zero lash even with a dry lifter, but it's much easier with a fully primed lifter. I usually prime mine with a good oil squirt can through the hole in the side of the lifter. I just hold the squirt can tight against the lifter and pump oil in until it starts coming out the top of the lifter.
This is probably one of those things where everyone has there own preference. Each to his own.
