If you use analog interconnects, you're choosing to have your CD player to the digital-to-analog signal conversion and sending the analog signal to your receiver. If you use a digital connection, your receiver's D/A converter is doing the work.
Some people enjoy the conversion of one DAC over another. Try it both ways and see if you prefer one over the other. I tend to prefer the job that my receiver does. By the way, a coaxial RCA-type cable will do just as well as the optical toslink, and the coax is less fragile.
