Which is the best option? Start working after undergraduate studies or continue on to grad school?

Well you'll have to do some work (for a minimum of 1 year depending on where you apply) or some form of training or internship in order to be considered favorable by grad schools, that is if you want to go to a good grad school. Let's say you apply for a job after completing both your bachelors and masters, yes that's good if you want to become a teacher, but where's the work experience, the applied experience, the life experience? you know what I mean? And, as a second thought, there are many competitive political science masters programs, as I am applying for a masters degree too. A good school would be Science Po in Paris or LSE they have great competitive degrees that combine both economics and pol;)
Good luck!