Depends on a variety of factors. First of all, how big is the query. For a big query, maintenance would be much easier if it is a SP than in the job step as TSQL. Also, it depends on who is the owner of the job step and what rights the owner has. Performance wise, a SP is going to be faster than a plain query but that needs to be factored into what you are doing and does the difference in performance matters to you. Performance difference might be negligible in some cases.
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