The cost of switching threads is fairly negligible. If you are concerned about that level of performance then you are more likely to run into issues using the on thread per connection model. If you use the 1 thread per connection model you can only have that number of HTTP clients connected to your web server at any given time. However with the IO / Worker thread model you can have a low number of IO threads that accept a very large number of concurrent connections which then queue up all of the blocking requests for the workers to handle.
The thread per request model is like going back in time to tomcat days where every webserver gets configured with hundreds to thousands of threads.
However if you don't have a higher number of concurrent users it realistically shouldn't matter which way you choose. Just keep in mind the thread per request model doesn't scale as far when you have blocking work.