I've done both.
Normally, as soon as you regain a radar service, the controller will assign a new squawk code anyway. There is a small risk that your retained code could have been assigned already in the new FIR and therefore cause confusion, hence the protocol of selecting 2000.
In the NAT, the procedure is formally laid down that when entering oceanic airspace, the assigned code will be retained for 20 minutes, then 2000 will be selected.
In other parts of the world the procedure is not so clear; in fact it's not always clear whether or not you are under radar control.
If in doubt, verify whether or not you are under radar; and if not, selecting 2000 may be the best option.
The important thing is to keep the transponder on to enable TCAS to work properly, and so that any military radar units can see you clearly. If your code causes confusion or is not recognised, the controller will quickly assign the one for his/her sector.