It's easier initially. But dealing with the resulting social issues that may result certainly is not easy. Accounting for everything, I'd say immigration is the harder route.
But if you accept immigrants, you also need to instill some of the ethos that makes your country first-world, and this challenge is something that many first-world countries fail miserably at. :-/
(And I'm not trying for some sort of wacky cultural superiority angle here, it's not the shape of your culture, the colour of your skin, or the language you speak that makes it first-world, it's simpler things like your society being high-trust, not tolerating corruption, and accepting and embracing diversity and individualism. These things are also culture, but pretty hard to teach others.)