I take them off of the sprue also. I like to put things together as far as they go, in assemblies ready to install on the main body of the model when all of the decaling is finished.
I figure that the reason to leave them on the sprue is to make sure they don't get lost, and to have a way to hold them while they are painted, then after painting, people have to remove paint in order to have a cementing surface. I use small copper Radio Shack clamps to hold tiny pieces,,,,,,the paint dries with the attaching points already masked off this way,,,,,ready to glue into the model.
But, fool around with the various ways you will read to do it, and pick the one that works for you, and is the most fun.
Rex