Depends. If you have dry air and/or wind, certainly leave it on. Not sure how your Denver weather is. With humid/still air, word on the street is that taking it off helps, but for the easiness factor I'd just leave it on when you're not in the pool.
It's a La Crosse Heavy Weather Pro and I got it at Costco last November for around $90. I don't see the exact same thing on their web site. It has a stick that goes into a port in my computer that sends the current weather data there and records a history of readings. You can make graphs, but I haven't spent the time to figure that out yet.
It's not meant to last the ages, but I do hope it lasts a few years.