There are advantages to both ways, so I can't completely recommend one over the other. Deobliquing removes any possiblity of mixing up coordinate systems among different datasets so that datasets match. If you can be sure to compare only similar obliquities, then this is not as much of a concern.
Obliquidating the anatomical data has the advantage that it does not introduce any interpolation into the functional data. Moving the EPI data multiple times will introduce more interpolation smoothing if you deoblique, volume register, register to an anatomical base and do a talairach transformation. Combining all these transformations helps remove multiple interpolation steps, and we're working on a tool to help with that.