I would not use TrueCrypt since it is no longer actively maintained, therefore, no longer safe to use. Truecrypts own website states “WARNING: Using TrueCrypt is not secure as it may contain unfixed security issues”
I would recommend using Apple's Built In Feature it is safe and secure, and of course, your files are as secured as the password you use to secure them. As far as the algorithms used to encrypt your password, gives you two options, choose the more secure option is somewhat slower encrypting/decrypting, of course you will only notice the difference with large files. You can choose 128-bit or 256-bit AES algorithms. The cipher AES 128-bit and/or 256-bit are both very secure TSL/SSL use it to encrypt end-to-end traffic across the Internet, it is considered among the top ciphers (Although NSA has categorized this to be in Grade-B, and their recommendation is to use 256-bit keys for encryption). Anyway to answer your question most third party programs today offer AES among other options to encrypt your data, therefore, I don't see any reason why you shouldn't use the built in feature for encryption.