which is the best way to connect my macbook air to external speakers?

You'll always get better quality with a wired connection. Bluetooth would be your second best bet.

I use AirPlay and my AirPort Express to connect using my WiFi.

iTunes: About playing music with AirPlay - Apple Support

I did that too until I got a Sonos for my fake birthday. Now my music is on a NAS and we have Sonos speakers all through the house. Benefit #1, I don't have to keep a computer running to listen to music, #2 I can listen to jazz in my office while my wife listens to whatever and #3 when I want to go exploring I use Spotify or Rdio (amongst others). Apple radio is lame in comparison.