Yes it is a good idea....I have noticed that when my pro-96 is turned on and then I plug it in, it stops recieveing. It will continue to scan but will not recieve anything! As for unplugging it, it should be shut off before. This will protect the scanner from any defects.
1) Always Plug the power cord in before turning the scanner on
2) Always turn the scanner off before unpluging
3) I have not seen anything go wrong when it is in the truck and turned on and then the engine being started..but if you should see anything then you should start your vehicle with the scanner turned off.