Having 6' of cabling capable of carrying several hundred amps of electricity connected to the battery all the time without any short-circuit protection was not something I was willing to do. I have a crazy amount of money invested in my LJ project, and I would just feel sick if it burned up because that cable shorted. I considered a disconnect like you posted, but I wanted to be able to use the winch without having to pop the hood and flip a switch.
I know it bucks conventional wisdom on here, but I used the "belt and suspenders" approach. I used a 250A ANL fuse on the winch power cable (Blue Sea Systems, a marine electrical company, had a lot of info on their web site that I read before making this decision). I also ran a 12" always hot lead to a pair of 200A solenoids in parallel, and from there, I went to the winch with a 5' cable that is not always hot. A switch in the dash will control power to the solenoid. The always hot 12" cable is the only part of the wiring that doesn't have short-circuit protection. I've seen the argument that starters have no short-circuit protection on nearly all vehicles and have large cables powering them, and that is true. However, the starter is not mounted in a position where it is the very first component after the bumper to be struck in a frontal collision.
I know that opinions vary on this subject, but you asked for thoughts, and these are mine. YMMV, as they say!