I’ve tried both, for extended periods and I ended up much preferring the Wednesday off.
Only if you have Tuesdays and Thursdays off you won't be able to get a contiguous five day holiday with only two days extra off that can include any weekday (e.g., with a fixed Thursday off, you can't include Tuesday in your five day block without taking a third extra day off).
My wife and I both work four days a week and have Fridays off. It makes it much easier to get into the weekend mindset.
I suppose there's pros and cons to either approach (which I haven't really researched at all yet) but to me right now breaking up a continuous stream of work days makes total sense (while still fitting for the 9-5 custom, which I, like many people, don't prefer but I haven't had any better opportunities yet).