If you can only pick one, go with the sump because it will give you much more bio media room and you'll have a higher turnover rate than an FX5. But like other people said, ideally you should have an FX5 and a sump. A combo of these 2 is better because the FX5 will catch more of the waste at the bottom, but the sump gives you more bio.
If you're not sure how to build a sump, you should just go buy one at the LFS. I would buy an acrylic one because if something happens to the glass or seams in the sump, it's going to be a big pain.