The rule of thumb applies to both PSW and MSW inverters. Inverter efficiency varies at least as much among various models of inverters as it does with the output waveform. Probably MSW inverters are on the whole a little more efficient if only the inverter is considered. Some devices operate less efficiently from an MSW inverter, though, which probably more than balances it out on average when total system efficiency is considered. Of course, that depends a great deal on what you're powering with the inverter.
Most of the time, relative inverter efficiency isn't something one needs to consider too closely. If the inverter is going to be left idling or nearly idling for long periods of time, it is worthwhile to compare the idle power consumption, which can vary a good bit between models (and is often larger for higher capacity inverters than smaller ones). It probably goes without saying, but the efficiency (expressed as a percentage) of an idle inverter is zero: it consumes at least a tiny bit of power, but outputs none.