With, without a doubt! There has been many a discussion here about this. Cellophane breathes, so leave them wrapped. Your cigars will age just fine with it on. I think it's kind of cool to pull out a cigar where the cello has started to yellow. I used to take the cello off, but after having several wrappers get torn when I was rummaging through my humidors, I decided to leave them on.
Some prefer to cut the fold-over or tag at the end, but I leave mine as they are. Sometimes I'll write the day of arrival on the fold-over with a Sharpie.
And welcome to Cigar Geeks! Go to the introduction forum and let us know a little about you. Speaking of little, how do you feel about midget strippers?