I encourage my students to remove the pins, but I saw how frustrating it was for the beginners to remove the pin and have the fabric slip out of place so decided to invest in the sharp, thin silk pins and leave it up to their discretion. As they get better at sewing, I notice they frequently remove the pins. We've only had one broken needle in 5 years. The silk pins bend easily and we end up tossing a lot of them, but it's worth it.
I have to admit, I sew over my pins more often than not, but I use the silk pins as well. I do rely on the thicker pins when sewing on a thicker fabric, then I absolutely do remove my pins.