The only problem with this method, though, is potential lag on slower computers (or fast computers running intensive programs). In other words, the sprite doesn't always keep up with the mouse, especially when the mouse is moving around very quickly. So if you move the mouse quickly and click - the recorded click position can be a little behind where you meant it to be.
For this reason, where possible, I use the coordinate checking method. This is very easy for non rotated rectangular sprites - it gets more complicated for rotated rectangular sprites - but for irregular shaped sprites I would imagine close to impossible.
Use the method which suits your needs the best.