When my iPhone was stolen, should I remotely erase my device or Mark it as lost ?

See the following from If your iPhone, iPad, or iPod touch is lost or stolen - Apple Support

Remotely erase your device

After you erase a device, you can't track its location, so make sure that you no longer need to search for the device. If you have AppleCare+ with Theft and Loss, do not erase your iPhone until your claim has been approved.

As FoxFifth has mentioned, do not erase it. Instead, I suggest that you do, as a minimum the following:

• Mark it a lost. However, do not include any contact information.
• Change your Apple ID password.
• Report the theft to your local law enforcement agency.
• Report the theft to your cellular provider.

Ref: Use Lost Mode in Find My iPhone on iCloud.com - Apple Support