You can leave your VPN on at all times, but you don’t have to. The best VPNs have unlimited data and won’t slow your internet speeds, so you don’t have to worry about switching them off — you won’t even notice it’s on. Plus, your VPN should have a kill switch to cut access to the internet, protecting your data if the VPN connection is interrupted.
If you’re concerned about your online privacy or live in a country with tough internet restrictions, it makes sense to leave your VPN connected at all times. I’d also recommend keeping your VPN on or using a VPN with an auto-connect feature with your mobile devices — this will ensure your data security when you switch between networks, especially if you connect to public WiFi.