Doesn't matter, all of your connections are going to the same spot, your router, and then your internet connection. You internet connection is your bandwidth bottleneck, unless you have super crazy fast internet.
So I would just use one or the other. If you are getting lag, it isn't your are maxing out your connection from your computer to your router, it is the internet is maxed out.
BTW, wireless and gaming aren't the best thing, better change for lag, or disconnects, If all possible I would stick with Wired connections.