Owen:
Just speaking from personal experience but I think it depends on how fine your setting is. IOW, how close to "zero" or burr contact you are as you're trying to prevent jamming at these super fine grind settings.
OK, now the practical part. At least with my grinders if I'm just compensating the grind by a notch one way or the other, I admit, I'll often move the collar with the grinder off. If I'm doing a "several notch" adjustment, I'll often do it with the grinder running, usually without beans. This is largely because like most home users I typically just grind one shot at a time. The other reason is that I'm a cheap-skate and don't like to waste beans by grinding them up while I'm fiddling with the grind setting!
Wow, by the time I typed this Dan already had a better answer punched out for you. OK, since I've already typed this, here ya' go anyway...