I've kept mine on since that's what the owner's manual and and the startup screen for every game tells me to do :P. Seriously though, the only thing that has bothered me to any degree is having to loosen the strap to put down the wiimote. To counter that I just tighten the strap halfway so it slides off if I drop my hand or pull the wiimote off with my left hand (and only those cases).
I kept the straps on because I like to be able to drop the wiimote when I'm not using it and then be able to easily flip it up when I'm ready to play again. I know I could just set it down but thisaways I don't lose it or pick it up backwards and such. Also while I've only once lost control of the wiimote (throwing a fastball in wii sports the first week I had my Wii) my cousins' kids play it every now and then and they have a lot more issues with holding onto the wiimote.







