I'd probably go with your friend as I'd prefer to get out of the class with the main method as quickly as possible. It helps facilitate testing when you want to test atomically (just the runnable class) or you want to mock things out. The sooner you get out of the main method, the more options you have. If you have one class with the main method and other things in it, it could get messy quickly. (even if it might not seem that way with a simple example such as the one you describe)
But I'd say readability and testability are two good reasons for getting out of the main method (and its encompassing class) ASAP. But hey..that's just me ;)
