Just take it off. Once you get more into the sport and get an on/off you can leave it on. But most of the time when you get an on/off you are using compressed air.
It's better to take it off. The resons I would are: The gun probbly dosn't seal perfectly and could slowly leak out all the CO2, another is that leaving it under pressure for a long time could wear out the o-rings and expecially the poppet inside. Each are easy and cheap fixes, but why have to go through that if all you have to do is take the tank off.
If you are using Co2 try not to put your hand to close to where it screws in because when you screw it on/off sometimes Co2 "shoots" out and it kind of numbs you're hand.