Given a particular third-party class/library you want to make use of, the simplest thing to do would be to just hardcode API calls to it through your application.
On the other hand you have the possibility of defining a interface that generically dictates what you want -not how-, and then follow the Adapter pattern to bind your interface to the third-party class.
I currently feel inclined to the second option because:
It creates a single point of change if you ever want to replace the functionality provider
In a similar way, it allows you to add more providers without changing your application code
It permits following your own naming conventions, simpler method signatures, etc
The thing is, I'm not experienced with this approach and I don't know how complicated or inconvenient it can get. I'd also like to know if are there any common errors when following this pattern.
In my particular case I don't want to wrap either a giantic library -e.g. a GUI- or a small function. Also there are actual possiblities I'll change my provider in the future, so this is not a YAGNI.