If you have a sliding pad on your leg that goes over your knee, you can take it off if you want before going out to field.
Personally, I find it easier to just keep it on. There isn't really enough time between innings to slide it on and off. It is supposed to cover your knee, so if you pull it down so it is resting over your shin, you can just adjust it when you are up to bat next inning.
Again, it's all about preference.
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