I leave them on for the most part. Most of the Infinity figures I have have helmets on if they are power armour guys. I can't think of one, of the top of my head, who doesn't.
In 40K (and now 30K) there are a lot of characters that don't wear helmets. Since the Space Marine helmets enhance their normal vision and other perceptions, except maybe smell, it seems odd that any of them, other than scouts perhaps, would ever take their helmets off.
Most of the characters are wearing pretty over the top armour. If you saw commander Dante running around you'd probably recognize him with or without his helmet.
Same with Abaddon.
The one reason I could think for them taking their helmets off would be if it were damaged. A bolter round smashes into the helmet damaging the sensory-enhancers and the vision doohickies.
Then the helmet has to come off as the character wouldn't be able to see with it on.
Psykers might have some problem with helmets too as they wear special enhancing hoods, but I've never read about psychic powers being disrupted by helmets in any of the fluff, not that I'm any kind of expert on it.
has a tip to help with your paint storage (and recognition).
