The 6MT M3 has a gear specifically designed to be used while parking, regardless of incline and direction. It's undocumented, but you put the shifter in the hidden gate directly underneath Reverse.
Seriously though, 1st when pointing uphill, Reverse when pointing downhill, and I'll typically put it in 1st when level just out of habit. I don't think there's much difference between 1st and 2nd except that 1st gives more resistance, with the tradeoff that it could theoretically put more strain on the gearbox.
Leaving it in Neutral definitely will NOT cause any problems with the gearbox (just the opposite in fact, Neutral is the easiest on the gearbox of all options), but if you want maximum hold resistance AND very little strain on the gearbox, when parking on a hill, follow this procedure:
1. Get your car parked and your wheels turned whichever way is appropriate for the direction of your incline.
2. Clutch in, foot on the brake, shift to Neutral.
3. Pull parking brake all the way, release foot brake. The car will roll slightly and rest on the parking brake.
4. Shift into 1st or Reverse as appropriate, turn engine off, clutch out.
That way you put all of the resistance load on the brakes rather than the gearbox, but the gearbox is still engaged to provide a backup source of resistance if the brakes fail somehow. If you park the way most people do when lazy, i.e. turning the engine off with your foot still on the brake and the car in gear, the car will stop rolling sooner after you let off the foot brake because the gearbox catches faster than the parking brake (assuming you even set the parking brake), but then you've got strain on your gearbox.
Note that the above procedure minus the clutch work and shifting to P in the end would deliver the same benefits to a car with DCT or even a slushbox too.