I was taught to put the handbrake on if the car was going to be stopped for 3 seconds or more. So if the lights have just turned red, then the handbrake would be appropriate.
Regarding staying in first or going to neutral - I don't remember there being any preference either way. It is more comfortable and easier to go into neutral. It may be safer as, in the event of a collision, you won't slip off the clutch and have your car move (although, with the handbrake on, this shouldn't really happen). If you're not so comfortable about using the clutch, you can use the time to find the biting point and get the revs ready, then drop the handbrake and go.
If the lights have just turned red and you're expecting a 30-60 second wait before they turn green, it makes sense to go into neutral and have the handbrake on. Get to know the lights in your area as well as getting a feel for long things typically stop for. As the other lights go red, you can be readying yourself to go.