yes, you have to turn off the gas valve of the grill after you completed grilling your food . its equally important for grilling effectively and also for safety of the grilling space. many pitmasters tend to relate the gas valve the usage of the gas , while in reality leaving the gas valve open while the grill is not in use can lead to decrease in gas pressure known as bypass. when your gas grill is in bypass condition, not enough propane will travel from tank to the burner and thus the grill will not heat up to the required temperature.