The best practice is to maintain both sides of the association. That makes sure you aren't working with an inconsistent graph of objects. It can, however, decrease the performance of the service, especially if all it does is creating a new Phone, linked to an Employee. Indeed, it will load the state of the employee and of all its existing phones.
Note that JPA only cares about the owner side of the association: setting the employee of the new Phone is sufficient to have the association created in database.
If you choose to go with the second solution, you shouldn't create a fake Employee object though. You should instead get an Employee reference from the EntityManager:
Employee e = em.getReference(Employee.class, employeeId);
Phone phone = new Phone();
phone.setEmployee(e);
em.persist(phone);
getReference()
doesn't generate any SQL query. It returns an uninitialized proxy, which is all you need. The advantage is that if the method ends up being more complex, and calls any method of the employee, then the actual state of the employee will be loaded.