According to Python docs, using str.join() will give you performance consistence across various implementations of Python. Although CPython optimizes away the quadratic behavior of s = s + t, other Python implementations may not.
CPython implementation detail: If s and t are both strings, some Python implementations such as CPython can usually perform an in-place optimization for assignments of the form s = s + t or s += t. When applicable, this optimization makes quadratic run-time much less likely. This optimization is both version and implementation dependent. For performance sensitive code, it is preferable to use the str.join() method which assures consistent linear concatenation performance across versions and implementations.
Sequence Types in Python docs (see the foot note [6])