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I've got a winged Nurgle Daemon prince I want to include in my allied Nurgle force, and I can include it as either a Heavy Support choice in the Daemon detachment, or a HQ choice in the CSM detachment. Which is the best way to go?

If your meta sees a ton of ID stuff running around (especially force weapons), I'd look at the Chaos Daemon route. However, if your thinking of taking the Black Mace and can stay away from GK, the CSM Princes can roll up entire elite squads in a turn. Heck, they're awesome character hunters too.

Honestly The CSM one just brutal. You can punch out entire squads of marines in one go so unless your fighting a EW guy like Draigo really no space marine unit is going to even touch your DP.

Remember if your opponent is properly spaced you can angle your charge so that when you attack you'll kill so many guys that he wont be able to pile-in close enough to get return swings.

The thing that really beats a winged DP is STR 10, or massed small arms fire.

Both have their boons. The daemon ones can get grenades and use powers that aren't psychic. The CSM ones can't get grenades but can take artifacts and psy levels. Choose which one you want, but beware instant death on the CSM one from Str 10 and other abilities.

So this may seem weird, But why not
play a game in the next weeks or so running
your CD as a detachment to your CSM and test
both princes in the same battle? Thats just what worked for me.

Without a doubt chaos daemons. They are cheaper for what your getting and T6 makes a huge difference. A bloodthirster is only 250pts and wrecks face and is resilient.

If you are going Chaos Daemons Route, here is probably the best loadout for the Nurgle DP (one of the best God specific CD DP choices):
Daemon Prince
Daemonic Flight, Iron Hide, MoN, Noxious Touch, Cloud of Flies, Breath of Chaos
All that for 245 points. A vector strike and a Breath of Chaos is Brutal on most opponents. That coupled with re-rolling 2+ to wound (poisoned) makes him challenge even the toughest opponents. Give him unholy might and now he is re-rolling to wound against even MCs. He also gets Assault Grenades, so you can't be I1 when charging an enemy in terrain or through terrain (MCs should ignore terrain btw). He can't be ID-ed, he is +1 toughness (which does wonders).

The comparison to the CSM DP with similar things:
Daemons Prince:
Daemon of Nurgle, Power Armour, Wings, Black Mace
This is for 265 points. Now you get so many bloody attacks at WS9 that wound on 2s and ignore armour. However, you are -1T, can be insta-killed, and go at I1 if you are charging through terrain. You can add psychic powers and a spell familiar to him but now your cost is up there with Fateweaver for a single model...

There are some things to beware of:
Ghazgul, Special characters with good invulns, Pretty much every single Grey Knight..., Any s10 shooting weaponry (tau most lokely will have a lot), any things that cause insta death, any type of terrain on the charge, anything I9 or 10 (only think of two things at the moment... KoS and Deldar Special characters), and anything that puts you at I1. Oh and Mind Shackle Scarabs. Definitely Mind Shackle Scarabs...

Other than that, i would say they both have their strong suits. Daemons' DP will be extremely more reliable against every opponent, but will not completely destroy some like the CSM one will. CSM will wreck face against most opponents, but can easily be nullified against some types of units or situations. It's a choice that you have to make