Always reply in the same format in which the original message was received.
Simple, eh? Send me a Direct Message on Twitter and I’ll respond in the same manner. Private message in Facebook? Reply the same way. Someone writes on you Facebook Wall and you should reply right there as well. Leave a comment on your blog and your reply should always be right below theirs.
However, if someone asks a short question “How can I embed video on a Facebook Page?” via a Direct Message on Twitter, your answer might take 27 replies at 140 characters each. In which case you should switch platforms and let them know where to look. “Too long for Twitter – I’ll send a reply to your email “email@example.com”. Now you both know the conversation has been moved over to a different channel.
Remember: The idea behind Social Media is to engage others in meaningful ways. It’s just the start of the conversation