Congratulations on your first DSLR purchase. I keep a lens on my DSLR all the time. I find it makes things much easier for me, and helps to keep dust out of the inside of the camera. If I were to keep the body cap on it while it's in the bag, that is an extra time I have to change my lens and increase the chance of dust getting inside. If the lens is already on the camera, you don't have to worry about that.