this is always a question which seems to depend on personal preference, but , being a "safety comes first" type of person...i always tell everyone to remove those pins...ever hit one, break your needle and have half a needle flying through the air at your eyes? not a very good scenerio...has happened to me...luckily i was wearing my glasses and the broken needle bounced off my glasses...it was a lesson which i have never forgotten, it's either remove the pins or wear safety goggles :? also, sewing machine repairs can get pretty expensive especially when you throw out the timing...the thought of my machine being out of commission for days, or weeks is too much to even think about.
safety first...then its more fun! :)