I won't criticise him if he does caucus with the GOP. He's an elected independent who's beholden to neither of the parties. That being said, if I were him I'd stick with the Democrats to avoid becoming associated with the extremist GOP.
I actually imagine that Mitch McConnell would really like him on the GOP side, precisely because of the radicalism of some of the Pub Senators. Sasse, Cruz, et al have the potential to cause enormous problems for McConnell and having a centrist in the Collins mold would be very helpful for some of the close votes that will inevitably come up.