I always used to take them out after the dressage (would be out by the time I got back to the lorry) but one day forgot and did well so now leave them in, supersticious (sp)
I always take mine out straight after the dressage (unless its a poncy type event in front of quite a lot of spectators and I might leave them in for the SJ!). I prefer not to leave them in to jump purely because I think the horse needs to be able to happily stretch his neck (and mine does, he jumps VERY round so I dont want the plaits to pull!).