i'm the same way, i just keep everything hooked up. I would find it too troublesome to go turn on the gas, pour a pint, then turn the gas back off for each time i wanted a beer.
just to echo what everyone else has said though, you need to make absolutely sure you have no leaks, otherwise you will run out of co2 in no time. also, you need to check for leaks periodically, as they can crop up over time. i check for leaks once every few months to make sure everything is still good.