It is recommended that a USB flash drive be stopped before removal when the computer is running.
No need to do that if you're going to re-use the flash drive, which I think will be the case, can't think of why you would use it just once. When pulled out, the drive letter doesn't show up in My Computer, when inserted again for another copy or download, it'll show up in My Computer under the same drive letter assigned to it the first time the system installed it.
If you're going to add another device to the system, in order for this new device not to take the Drive Letter assigned to the flash drive, stick the flash drive in.
Regards - Charles