It really depends on on how you are storing them. If you are using only one humidor for all your cigars and are only going to keep them for less than a year I would recommend leaving it on to avoid damage when opening/closing the lid.
While cigars can still breath with the celophane on, I would recommend removing the celophane only if you are keeping them in a PROPERLY REGULATED HUMIDOR. Thus if you are closing or opening the lid all the time, or if you are not properly regulating their humidity, the celophane will protect against momentary fluctuations.
I am involved with storing somewhat large quantities of stogies for long periods of time. Thus, to avoid cross contamination I usually use a seperate humidor for each brand. Cigars that are stored together can cross blend flavors if left for more than 1 year.
"I Smoke in Moderation.... Just One Cigar at a Time." Mark Twain
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