Answer:
I think we need to do both, but I'll let you decide which you think sounds better for you personally (personally I think sanctuaries are often more effective).
Step-by-step explanation:
Behavior changes It is not really ethical to continue to have a negative impact when changing our behavior can help, however, this may not be ideal as explained below
Sanctuaries It is often more feasible to create preservation sanctuaries because 1) it is hard to get everyone to change enough habits in order to create large-scale change and 2) some species require more immediate action to save, whereas changing human behavior may not be enough and/or at the right pace to preserve and expand the populations of endangered populations
Depending on the main threat to a specific population, the approach will obviously be different.