I always take mine out. I carefully remove the whole plant with sponge attached, hopefully all still in one piece. I then pick the sponge off the roots carefully, remove any dying or dead roots (brown and soft), then cut off half the healthy root length ways and plant into the substrate.
However, I believe this is only more appropiate if you have a fairly nutrient rich substrate. If your substrate is really "clean" then the plant will probably be better off in the sponge and pot as normally the sponge is impregnated with fertiliser.
It may also depend on the species of plant as to whether it makes any difference i.e a root feeder (Echinodorus sp., Crypt etc.) or water column feeder (Vallis, Hygrophila sp. etc.)
HTH