The New Module Wizard in NetBeans 5.0 or later offers easy support for creating a wrapper module - File | New Project | NetBeans Module Projects | Library Wrapper Module. This biases the answer to this question, due to its convenience, but generally there's no harm in using a library wrapper module.
Note that a library wrapper module can wrap more than one external jar - you do not need to create one for each library. But it is a good idea to create a separate wrapper for each JAR if they come from different projects and might conceivably be used independently.
The general algorithm for making an optimal decision about when to use a wrapper module is this:
There is a very slight performance penalty to using a wrapper module - it's one more jar to open and read from, and one extra layer of indirection for the classloader. That is not a reason to avoid using a wrapper module if that's what you need - it really is slight. In a very large application such as the NetBeans IDE, such considerations are more important because there are more jars, more classloaders, and hence more load already.
If you are developing the library yourself, but decide you want to keep the library project separate from any NB module project, you can do so. See Using a wrapper module for an existing project for information and various methods to hook them up for development.