Well, thats a loaded question. I take it out, usually, when completed; however, if the pieces are teensy, tiny, I would take them out sooner than later, i.e. feathered star. I do take the papers out of the seam allowance at I sew that piece together, but just depends. You don't want to take out too much in case you need the lines for further pieces. Try several ways and see what works for you.
Sharon in Colorado