SPF and DKIM are two different things.
SPF is a simple to implement. SPF is setup through DNS records/zones. It is simply a way to control who can send emails through your servers/domain.
DKIM is a little more involved. DKIM digitally signs (encrypts) emails to verify that the message is A.) Valid B.) Unaltered and C.) Originates from the server it says it originated from.
Both are good, but DKIM is the better way to go.