It depends on the sunset really. Is it a cloudless sky, with a graduation of colours going from the horizon to the sky? Is it one with bands of whispy clouds, adding stripes of grey across the colours? Are the clouds reflecting the colours?
No two sunsets are the same, and no two sunsets benefit from the same approach. Try underexposing a bit to get stronger colours, and cycle through the different white balance settings to see which works best.