How many flights per year will you fly? That will give a basis for whether it's possible to chase status or not.
Going with United, roundtrip SFO-MSY is 3820 miles. You need 25,000 miles to reach the lowest elite status level, Premier (aka 2P). That comes to 7 roundtrips per year needed (or 6 plus another, shorter trip, since 7 actually puts you over by 1700 miles). One thing about mileage-based rewards programs like UA's is that you will sometimes have the chance to stretch your earned mileage by taking indirect routings for the same fare price. For example, flying through ORD (Chicago) brings the roundtrip on UA up to 5,356 miles, which would require only 5 roundtrips per year to reach 2P. Routing through LAX, IAH, JFK, or EWR are some other possibilities that would stretch your miles earned while *possibly* not costing any more (although of course there is always the hassle of switching planes, waiting at the gate, etc.).
Switching to Southwest, you need 35,000 "points" or 25 one-ways (12.5 roundtrips) in a year to qualify for the A-List. 35k points translates to spending $5,833 on Wanna Get Away fares, $3,500 on Anytime fares, or $2916 on Business Select fares.
You can also earn extra qualifying miles/points in either program through hitting certain spend levels on their respective credit cards (usually something like $20k or $30k per year gets you 5k or 10k extra qualifying miles/points).
Given this, I would go with UA if it's possible that you would reach status with them -- 2P lets you select Economy Plus for free, plus the chance for free domestic upgrades (although you're last in line for those behind the 1Ps and 1Ks).