I always have my life jacket on when underway; no exceptions unless I'm going to sleep. We're tethered in:
(a) whenever the on watch says so
(b) whenever the captain says so
(c) open water at night
Some people hate tethers because they say "I'm just sitting in the cockpit" or "it gets in the way of what I'm doing". Well, if you're just sitting in the cockpit reading a book on watch, a tether should go unnoticed. And if you're running around doing stuff, it's a great way to get knocked in the drink.
Just watch this video (around 2:00 into it):
And tell me what would have happened if you were on the foredeck messing around with a sail at night when that happened.