I have done it both ways and there is really no right or wrong answer to this question.....it all depends on the dog.
The best finished hog dog I have ever owned to date wouldn't bark at a hog in a pen the first time I took him. I got a little discouraged, but in the woods he came around real quick. So I will say this, if you do take a pup or an older dog to the pen to start or try out.....don't get discouraged before you take it to the woods. Some of the best dogs I have hunted, including the gyp I have now, were given to me by people who put them in the pen and they showed no interest...they got discouraged gave them to me.....I took them to the woods and BAM! Hog dogs.....
Note: This doesn't happen everytime but it has happened a few times........