It's definitely a much better idea to send solo visitors to a squeeze page and through your sales funnel rather than straight to the sales page, whether it be yours or the vendors.
Think about the follow-up, if you were to send them straight tho the sales page, even id they do buy, wouldn't you want to follow up with them?
..Doing it that way doesn't allow you the opportunity follow up with premiums. future offers, or even your own personal related value in the future...
...Another reason why you want to send traffic to your squeeze page first as well is because it gives you the chance to test how your page converts in regards to opt-ins out of a pool of any given market...
...it's always important to beable to test and measure your ad copy versus another squeeze page, you can't split test using someone else's sales page.