It's a toss up. Some people swear by one method, while others are equally sure of the opposite. In reasonably warm weather, the heater doesn't cycle much anyway. In very cold weather, it cycles more, but also take longer to heat up from cold.
If you are away at work for, say, 9-10 hours per day, there may be some advantage to turning it off. For any shorter period, I wouldn't bother.