Wrapper Preloader

Currently I’m teaching myself how to best create ‘All flash’ websites,
I’ve been looking through the web trying to find out the best way to create preloaders in AS3, from which I’ve found a few different methods.
Due to not being confident enough with my AS3 skills, I opted for the wrapper .swf method. Where an independent swf is created to load in the main movie, with a preloader inside that. It works just fine, it’s seamless, attractive and efficient ( sizes up at 9kb ).
But one thing I was wondering,
My movie now uses three tiers of URL loaders. One for the wrapper to load the main page. and several inside that to load independent page modules.
I was wondering if anyone could give good advice on lessening CPU load created by this. ( I presume that tiers of URLloaders would wreak havoc for efficiency. )
Is what I’ve done a bad idea for my site?
And should I get comfortable with doing it this way?
I hear people generally use either:
A Loader in the DocClass. ( A procedure I’m not too familiar with. )
A wrapper SWF
or a loader in the first frame.

Could anyone explain which is the best for what application?

Thanks in advance.