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No need to ever remove them unless you are doing a massive re-arrangement (new substrate, etc). Catching and moving them will stress them far more than doing changes with them in there.
Haha same with mine David! They love the water changes. I always try to transfer the new water in the opposite corner of my fish, but they always swim right under the water and ride the little current that it causes. It probably the highlight of their day
But back to the question, it's better to just leave them in than take them out!