I've gone back and forth. I DM a 4E campaign, and we've been running through H1-H2-H3.
For H1, I followed the module: it calls out at certain points (being fairly linear), that the PC's probably will be levelling at this point or that. So, when they reached one of those points, I let them level up.
For H2, I decided to ignore XP, and simply have them level after finishing a chunk of the story. Unfortunately, the end result was that they spent a lot of time at one level, and very little at the next. I heard no complaints (nor had anyone complained about the way I ran H1, other than me...), but again decided that this wasn't the way that worked for me.
So for H3, I've gone back to the book. I don't bother telling the players the exact XP they've got, but instead (after discussing it with them) settled on telling them when they hit the half-way mark to the next level. At the rate we play, this gives them plenty of time to think about what changes they're making when they level up.
I've also been toying with ideas for a home-brew campaign, and haven't settled on how I'd do XP there. I'm somewhat tempted to just pick a level (probably something high-heroic), and keep the PC's set at that level. I'm not sure if I could sell my players on that, though. They sure seem to get a kick out of levelling up.