I've had this question come up a few times this week and thought I would talk about this here. When I first learned to knit in the round, I was taught that you want to work you gauge swatch in the same manner. Now, seriously, if you gauge is that much different knitting in the round (itr) than knitting flat, maybe you ought to practice purling more. Yes, people do tend to purl a little looser than they knit, but if your purl row is so much looser that it causes your gauge to be more than one stitch off than knitting itr, you need to work on tightening up your purl stitch.
Anyway, that's just my opinion. Hope I don't ruffle too many feathers with this one :-)
Knitting a swatch itr is a big pain (knitting a swatch flat is annoying enough). It needs to be twice the width as a flat one and thus take almost twice the time. I have a hard enough time convincing people to do a gauge swatch anyway, I'm not gonna tell them they have to do itr as well.
So, in conclusion, knit your gauge swatch flat. It'll be ok.