You should have your VPN on all the time if security and privacy are important to you. Your IP address and data are only encrypted when it is on. However, leaving your VPN on all the time will result in slower connection speeds. If speed is important, you may prefer to switch back and forth between a VPN and the regular internet. Finally, some VPNs limit how much data you can use each month. In this case it might also be advantageous to turn a VPN on and off as necessary.