We should use a Conditional Access policy.
Note: There are two ways to secure user sign-in events by requiring multi-factor authentication in Azure AD. The first, and preferred, option is to set up a Conditional Access policy that requires multi-factor authentication under certain conditions. The second option is to enable each user for Azure Multi-Factor Authentication. When users are enabled individually, they perform multi-factor authentication each time they sign in (with some exceptions, such as when they sign in from trusted IP addresses or when the remembered devices feature is turned on).
Enabling Azure Multi-Factor Authentication using Conditional Access policies is the recommended approach. Changing user states is no longer recommended unless your licenses don't include Conditional Access as it requires users to perform MFA every time they sign in.
Reference:
https://docs.microsoft.com/en-us/azure/active-directory/authentication/howto-mfa-userstates