it all depends on several criterias;
for example; your router, does it do anything else, like policy routing, access-lists, routing protocl such as ospf or bgp etc. Also depends, how much memory you have, which model of router you have and what sort of traffic load are we talking about. So, as you can see, it's not a simple yes or no, the answer to your question is "it depends".
From my personal experience, i have seen most people do it on the firewall, but again, its your call.
Hope that helps.
R/Yusuf
