What's more fuel efficient, orbit or slingshot?

Scott Manley has a couple of videos where he explains this. Taking advantage of the Oberth Effect for a gravity assist can help you in some cases. But for others it may not worth the trouble.

The most fuel efficient way to attain a desired orbit is to only burn at periapsis (lowest point in your orbit), because at periapsis the gravity of the body you are orbiting helps to max out your speed. If time is not a factor, you can wait while your craft orbits to an optimal position just prior to periapsis, and then burn until you are a little ways past it.

When getting into orbit on a launch from Kerbin, you don't have that luxury. In fact, you're pretty much being forced to burn at apoapsis (highest point in your orbit) when gravity is actually working its hardest against you.

As for slingshotting around the Mun, Scott Manley demonstrates that in this video (Mun slingshot starts at about 4:08):

Here he tries to establish a transfer orbit to Jool, and actually spends more fuel while slingshotting around the Mun vs. a direct burn. Now you might have better luck if you wait for the Mun to line up just right, so you could try experimenting with that.

On the other hand, in this video he demonstrates slingshotting around Jool to get a return trajectory to Kerbin (10:30):

The big difference here is the gravity of Jool is much greater than that of the Mun's, so it has an easier time influencing and helping your transfer orbit.

Now, just because Scott Manley tried it and couldn't make the Mun slingshot yield high rewards doesn't mean it can't be done. Give it a try and see. But even if you can make it work, you probably won't save enough fuel to make it worth the effort.

Using a gravity-assist around Mun can give you quite a lot of additional delta-v for free. Minmus not so much, because its gravity is so low and it is so hard to hit.

However, gravity assists are much less precise than just doing a single burn. Especially when you want to perform more than one. Also keep in mind that they take time to set up, so when you are going for an interplanetary transfer, you might have trouble meeting your launch window. That means a mission with gravity assists takes a lot more time to plan, and a lot of fiddling with maneuver nodes and minuscule in-flight course corrections. Figuring out a way to get more fuel into orbit can sometimes be a much less time-consuming task.