In my opinion, you should always leave your windscreens on your mics whenever you are taping. They will protect your mics from smoke, dust, indoor ventilation systems, etc... and of course always use them outside to prevent wind rumble on your recordings.
The only effect the windscreens may have is that they may attenuate some of the high end, but it won't be noticeable unless you are using some extremely heavy windscreens.
-John