Between the two cities I prefer the setup I experienced in Sao Paulo. Quality of women even in the lower scale places was much higher than one finds in the industry here: generally much younger (average early to mid 20s I would guess from my observations), at minimum very attractive, and often DDG. Depends on your tastes of course. Also the high end Sao Paolo bars were generally a better deal because of on-site facilities and were safe to pay using credit cards.
Last caveat: my info is about 15 years old, so relative prices and conditions may have changed. Rio is definitely more risky than Sao Paulo, and Brazil generally does require vigilance and staying reasonably alert. Avoid drinking too much and too quickly. Hobby on, amigos.