I don't bother turning it off unless I need to change out the battery, although I did happen to change it out without shutting it off first, didn't matter.
Since I've added a grip to my 50D, I do turn the grip off when I put it in my bag, but the main stays on.
I have the 40D now but I did have a 300D, (pause to reflect on the life of my first dslr)
