Yup- I turn mine off when I'm done with it. Had it for years and it still ticks along just fine. I do let it warm up a bit, though, when I turn it back on.
Worst thing that can happen is probably you'd have to replace the tube for 10 bucks. I would be more worried about leaving it on, that thing generates some heat.
I broke one a year ago by switching the connections while the thing was turned on. So be careful with that. I think your supposed to connect everything before you power up. Check the manual to be sure.