You can do either. Most autocrossers will hit the gas to force the front tires to roll and drive out of the understeer. this way you dont lose as much time by scrubbing off speed. the reason this works is because the car is understeering because the front tires are sliding sideways instead of rolling. hitting the gas forces the front tires to roll and CAN pull you out of the slide. however sometimes you end up sliding into some cones
rolling off the gas will transfer more weight to the front to regain front grip also. easing onto the brakes will tranfer weight to the front as well.
It really depends on what you are doing when you get the understeer. if you are hard on the gas and you are understeering you should probably lift off a little. If you are on the breaks and you are understeering you probably want to get on the gas to pull yourself through of the slide.