It is a good idea to leave the password on.
If you lose the phone, or it is stolen, it stops someone else finding out all your contacts, looking at your texts, making calls on it, and so on.
In fact there is a great option from Samsung called "Find My Mobile".
First you create a Samsung account on your computer and register your phone, here.
http://www.samsung.com/us/support/account/
You then log on to the Samsung software on your phone after it has downloaded.
You then you go to the Find My Mobile web page on your PC and log on with your Samsung Account details
http://findmymobile.samsung.com/login.do
Here a little map shows you EXACTLY where your phone is so you can find it, or send the police to the persons house who has it.
There is also an option on that page to ring your phone if you cant find it, and also to wipe all the data off it if you lose it or it is stolen.