This is really up to you. If your dog seems comfortable in the harness, unless you just like the way he looks better with or without it, it doesn't make a difference. However, if you live in a warm environment, leaving the harness on all of the time could cause discomfort to your dog by making him too warm. Additionally, if your dog is either in a teething phase or just likes to chew on things, they might also attempt to remove the harness themselves! If you notice this happening, you might as well just go ahead and take it off because this behavior shows that the dog is uncomfortable.