It's entirely up to you.  If you insist on a guideline, it's generally
to minimize the average space (in lines) between the first and last use
of a variable.  That seems to recommend the latter.  If your menus are
very complicated the following is also nice, and ends up improving even
more:

   private JMenuBar buildMenuBar()
   {
       JMenuBar menuBar = new JMenuBar();

       menuBar.add(buildFileMenu());
       menuBar.add(buildEditMenu());

       return menuBar;
   }

   private JMenu buildFileMenu()
   {
       JMenu menu = new JMenu("File");

       ...

       return menu;
   }

   ...

I prefere:

JMenuBar menuBar = new JMenuBar();
createMenu(menuBar);
createMenu1(menuBar);

private JMenu createMenu(JMenuBar menuBar) {
 JMenu menu = new JMenu(...);
 ...
 menuBar.add(menu);
 return menu;
}

private JMenu createMenu1(JMenuBar menuBar) {
 JMenu menu = new JMenu(...);
 ...
 menuBar.add(menu);
 return menu;
}

--
Cheers
grundig