Airport Express to Aiport Extreme via ethernet--what should Wireless Network Mode be set to?

when I open the the Airport Express in Airport Utility, under the Wireless menu, for Network Mode "Create a wireless network" is selected.

This is correct.

My idea was to set up these up for roaming, so shouldn't Network Mode for the Airport Express be set to "Join a Wireless Network"?

No, "join a wireless network" would be used only if the AirPort Express was connecting to the network using a wireless connection.....not Ethernet.

but I have an extra Airport A1408--would that be a better device to use for roaming instead of the Airport Express?

Yes. The AirPort Extreme will run circles around the AirPort Express as far as performance, broadcast speed, antenna layout, etc.

Here is a tip for you. Whenever an AirPort router......any model.....connects to the network using a wired Ethernet cable connection, the correct setting for the AirPort will always be "create a wireless network". If you use the AirPort Utility setup "helper" or "wizard", the utility will automatically configure the AirPort correctly, so you don't have to worry about what settings to choose.

You might have for example, six AirPorts all configured in a roaming network. Each one of the AirPorts would be set up exactly the same way as the others........"create a wireless network".