I don't normally turn mine off whilst they are out of the bag, they are left on and ready for use at all times whilst I am shooting, walking around, whatever. They are set to never auto shutdown and only get turned off when put back in the bag at the end of the day, unless I feel the need whilst changing a card or lens (and I don't always bother then).
I don't have a problem with battery life, if I put a fresh one in at the start of the day it will frequently still be going at the end of the day, even after a couple of thousand shots taken. I do use the higher capacity aftermarket batteries though and always have spares handy, just in case. If I just had the one battery to last me all day, with no reserve, I would probably be more careful about saving juice.