How to coect to Intel Compute Stick in the most efficient way?

I would like to setup reverse proxy service (e.g. squid) and DNS server (e.g. bind) on Intel Compute Stick to speed up my inteet and at the same time to relieve my MacBook Pro which is overloaded most of the time.

What would be the best approach to setup low latency coectivity between a stick and laptop?

Via WiFi, Bluetooth (4.0), USB 2.0/3.0 (e.g. Etheet via USB, USB-USB), or anything else? What type of coectivity would be the most efficient in terms of the low latency and stability (assuming the stick would be next to it)?