I was always taught to put it in gear and use the e-brake. I'd rather put a minor strain on my transmission than risk the very tiny chance that my car could roll and hurt someone.
As for the OP - I've had the car roll back a few times when parking in my driveway and just putting the e-brake on. Maybe 2 or 3 times out of the hundreds of times I've parked. It always held fine the second time I put the e-brake on though it did reinforce my inclination to put it in gear too.
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