After a bit of thought but no testing, it depends on your rockets.
If the rockets are going to hit only the player then check on the script attached to the player and do everything there including destroying the rocket.
If your rockets are going to hit more than the player then it's best to let the rockets do the collision checks on the rocket and have it subract the health of the hit object.
I'l give you an example. I'm working on a game with swords. I had to do it a bit more complex but the sword has the script that gets the object collided with and tells the hit object to subtract its life.
In my case though, the info is sent to an Animation event for further checks.