I usually leave the band on until I am just about done with the cigar (or it is in danger of catching on fire-whichever comes first). I think that a cigar looks naked without the band. Plus most of the cigars that I like have cool bands that I enjoy looking at (Cupido, Indian Tabac, Bolivar, Padron Anniversario).
However, I even leave the bands on those smokes that have the ugliest bands (Diesel, CAO gold, Puros Indios).