Ultimately, it is your opinion. My thought: save it for deoxys. You could also trade the master ball for something good. I got a darkrai for it. If you don't want to capture it, here's my suggestion:
Throw a pokeball / quick ball immediately, as it may catch it (no joke, this is how I caught several of my legends)
If that doesn't work out, do this:
Taunt. It has Aqua ring, so it can heal so it never has 1 HP when you try and catch it. Then, use thunder wave. This improves the chances of capture. Next, use a kind of strong move, as you don't want to knock it out. When it's really low, start spamming false swipe or hold back (if you still have that on possible event beldum) to get it to lowest health possible. Lastly, use your ultra balls, pokeballs, etc to get the rain whale. I wish you luck on your quest to capture thee legendary whale. Hope I helped!