If you're going to wear it all day, taking it off while you sleep is recommended, especially if you haven't developed a strong sense of the fit yet. There is some potential for the device pinching while you're sleeping and cutting off blood flow.
Maintaining hygiene is a concern. Removal and thorough cleaning at least once a week is important. When you're in the shower, try to get soapy fingers rubbing underneath; the underside will be much more in need of cleaning that the outside. A particularly useful tip I found was, in the situations where you have time to, run a blow drier on the device when you've got it wet (for example, when you've urinated).
It's also recommended that you keep the key on you. And make sure you have pliers on hand in case there's an emergency and you need to break the device open. It'd be better if you can do that quickly yourself, instead of having to wait a while to have it done in the ER.