I've always used MySQL network connections instead of sockets as of late, but then I read that sockets are faster for local connections. Then I found more compelling evidence at the MySQL performance blog:
Cache Performance Comparison - MySQL, Memcached, and various PHP caches
I tried it out and got it to work using Wordpress, and I got it to work, but I haven't tested out the performance yet. I was surprised you need to put ":" before the path to the socket, which on debian is /var/run/mysqld/mysqld.sock.