I tend to leave it in except when I am around the green or within 30 yards. While I have had a few ding the pin and spin back off the green, I'm sure I have had just as many hit the pin and stop within a few inches.
It's just a matter of what you are comfortable with. I don't know that there is any real advantage in taking it out. My reference would be the PGA tour guys, they could have the pin pulled on every approach shot if they wanted and they don't do it.