Hang it from the wood. Drilling concrete with your everyday drill and bit is not an easy task. Concrete is sand and gravel glued together and will dull a bit quicker than Tyson knocked out Peter McNeilly.

if you know this and have the right eqiupment for drilling holes in concrete than I'd still hang it from the wood. I don't think the screw would take even if you weren't hanging a heavy bag.