I used to pull off all the wrappers because it looked awesome, made less to do at smoke time, and I figured it would aid in stabilizing the humidity of each cigar. Note with CCs and some NCs you don't have a choice because they don't come with wrappers.
However I have abandoned that for the following.
A I have too many cigars and it's tough to organize them without the wrapper especially if you want to keep like cigars together
B I have so many cigars I need to jam them in wherever they fit and the wrapper protects them
C I haven't noticed any humidity issues wrapper on or off so I don't think that matters.
So I'd say wrapper on, especially if you are new because you will run out of humidor space soon.