Doing cardio on the legs day does not affect my work out at all. However, since I train heavy, the next day and the second day I am in pain. Like this morning, the plan was to get up and go do my 30 min in the morning but I was so dead tired after yesterday's work out that even though I was mentally prepared to go do it, physically my body refused...
As far as what's worse...Honestly, I don't think it would greatly affect your gains if you do it smart. If it's low intensity (I do 15% incline @ 3 mph) walking, even in the morning, with a protein shake thrown in and BCAA's, you should be fine. As far as doing it on the day you train legs or the day after, it can actually be beneficial, considering that it gets your blood flowing and thus a good warm-up (if you do it before your leg training) or a cool daown/stretch effect (if you choose to do it immediately after); also can remove a lactic acid built-up if you do it the next day...