Depending on how long I'm going to be away from my machine I usually leave it on most of the time that I'm in my sewing room. If I'm going to be cutting a lot or searching for something I may turn off the light as it does get hot.
The light on my mom's machine did burn out once, but it was probably 20-30 years old by then. Don't know if the bulbs for the newer machines are that long lived or not. Haven't had to replace the bulb on my featherweight yet and have had it about 6 years.