The only machine I keep set up and covered is my embroidery machine, and only because I often go 6 months or more without using it. It's too big to easily store or else I'd just put it away somewhere between uses; instead I keep it out. I use the plastic cover it came with but I keep thinking I'll make one for it someday. (So far, hasn't happened)
I have 20+ machines, because I can't pass up a cool vintage machine. If a machine is set up for use, I don't generally cover it. My Janome 6600 is always set up and uncovered, and I usually have 2-3 vintage machines set up for use too, uncovered. If a machine is put away I put it in a case or bag, so I suppose that counts as a cover. I have a couple of my favorite vintage machines on display, those aren't covered. I tend to use and fiddle with them often enough that they don't get TOO dusty. I have sewing friends that come over and help me keep the herd exercised too (which is why I keep extra machines set up and ready to go.)
I love the looks of my vintage machines too much to hide them all under covers.
