Surely it depends on airspeed. If flying at blue line (I think this is the sort of aircraft you mean) then it would be wise to turn into the live engine, although by the definition of blue line speed you should have enough control authority to turn either way. You may find that you have to reduce the maximum bank angle used during the turn, and be wary of bleeding off the speed in the turn too.
If flying near high ground you may have no choice. I think common sence and airmanship have a large part to play in this discussion. Not to mention handling skills. If flying a light piston twin (PA 34 for example) then it is probably wise to practise engine failures regularly as they can be quite demanding to handle well. Certainly seem more difficult to deal with than an engine failure on an airliner.
Maybe DC3 or mosquito pilots would argue this point more strongly in favour of the "turn into the live engine" theory. I dunno, unfortunately never flown either.