I don't think either of them have much guarantee of giving you alot of help with saves. Kaz Sasaki is supposed to be back the middle of next week, meaning that if true, Nelson will get at most another save or two. I doubt Nelson would be a long term option for them at closer if Sasaki went down for an extended period; they would more likely acquire or call up a lefty for their bullpen and let Rhodes close, since he is the better pitcher and would make a great closer.
They haven't officially dumped Koch as the closer in Chicago and I don't know that they actually will. He has always seemed to go through some rough patches and then come out flying, but I guess it all depends on the patience of Manuel, who is notoriously trigger happy. Even if Koch is removed, they will still likely use a committee approach like they did last year after tossing Foulke. So, it might be a stretch to get many saves from Marte either.
Basically, I think Marte is probably overall a better option than Nelson, but I don't know if either is worth a roster spot. That roster spot could be better used on a starter if there are any quality starters available, who will help you with both wins and K's, not just saves.