If you are using someone else's bandwidth (e.g., RV Park or Starbucks WiFi), you are probably ok unless you have an open connection (non-encrypted). By staying connected, you are giving a hacker a chance to find and exploit your exposed computer.
If you are paying for the bandwidth, (e.g., using an AT&T hotspot or personal WiFi, which connects your air card to the Internet via an LTE base station) and have a monthly data cap (e.g., 6 GB), then leaving it on, especially while connected to a website like this) can really suck down your data. A lot of the banner ads running on websites are data hogs. In that case, I'd download what is needed, then disconnect from the wireless access point. Good luck. Mike