The oils may be more potent, as far as a burning agent, but as a carrier ingredient, the menthol crystals would be more effective.
This is just my opinion, as I have not made it myself. But when I've use the oils, I have found blending the essential oils of wintergreen, the mints, thyme, etc. to be unsatisfactory as a heating salve: they need a carrier, or "fixative", and I think that is why menthol is in all the commercial products. I'm still looking into it, though, because I'd like to make my own also.
Mountain Rose Herbs (you can find them on-line) sells menthol crystals by the pound, if you are interested.