Both methods are doable but have issues.
As a link partner, I want a link to the relevant content, not to a warning page. So I would personally not follow the first suggestion.
There are issues with doing a warning page inside of Wordpress as well. It means your "home" link will return the surfer to the warning page. It can be coded around but odds are if your asking this question, coding around the "home" link would be a stretch for you too!
My other comment is why? Search engines link to your relevant keywords not to your warning page and like I already stated as a link partner I want a link on a page with relevant content.
Odds are those you are linking with are adult sites so someone coming to your site is already coming from an adult site.
But I understand wanting to keep kids away. They can't buy and just waste your bandwidth. So rather than worrying about an adult warning page that gets ignored anyway, I suggest using the
Restricted to Adults WP plug-in. Put the warning where it really belongs, in your meta tags so that the search engines and other software, like browsers, can do their job.