As title:
in order to test if an adult offer is a good converter, do you ever direct link or always use a LP ?
I start direct to get a bench mark, then see if I can improve with LP
Do you mean a benchmark for the offer or for banners' CTR (or both)?
Both and also ad copy. I.e. I'd run a banner with: "Fuck Black Bitches" - if it converts, then I'd create a LP to reinforce the angle. Creating banners with different angles is much faster than creating multiple LPs with different angles (at least for me it is)
You can DL, but quality tends to be better with a landing page also with a little bit more ROI, so the pro's of a lander outweigh the cons and generally make your campaign last longer.
Considering your initial leads can be what the advertiser goes from, I always begin with a lander for that reason 
I like to test direct linking over small volume to get a feel for how it's going to convert. Once I know what I'm focusing on, I'll go with the custom LP.
If I already know that an offer is a winner, I'll go straight to the LP.
That was some good advice from Maynzie about your lead quality. The best banners for CTR are rarely the best banners for lead quality. An LP can solve that.
I agree with Finch and Maynzie in that the Lander seems to sieve out the crap traffic and only those more serious about what the offer is tend to click through, so the quality is higher for the Advertiser.