All the various methods work well enough.
Bellows allow a little more clearance on the linkage than rod seals, so if you're converting rotary to linear motion, the bellows tend to put less strain on the servo, assuming you haven't placed an auxiliary link in.
Rod seals tend to cause less displacement change as the rod actuates, which is advantageous on a smaller model.
Engel and Norbert Bruggen sell good quality rod seals, which use o-rings- easy and cheap to replace. Good bellows are Robbe ones, if you can find some, also ebay vendors for smaller bellows.
Another method is to use silicone tubing over brass tubing. Very cheap and works well, similar to rod seals.