Leaving it on all the time will probably increase your gas consumption, as the throttle will be more sensitive. I usually just turn mine on as I'm merging in to interstate traffic, or going to pass someone.
That being said, I don't think it hurts the car to leave it on all the time. It just tightens up the steering and makes the gas pedal more responsive.
Agree, wont hurt to leave in sport, but you will see slight lowering of MPG. Sport simply tightens up the electric steering, raises the shift points, and I believe, maybe slight change in performance of engine.
I use the button when it's really hot out and I'm cranking the A/c. This way you really don't notice the extra drag on the engine.
In fact, the cars feels quicker with the A/c + sport button than with no A/C and no button. Nice.
Is there a way to permanently leave the Sport button on? With a manual transmission I doubt the gas mileage would be that different, I just prefer the throttle feel. Also as a related question, is there a way to leave the rear fog lamps automatically on as with the daytime running lamps? Thanks, I just got my Cooper S two days ago and think it is the most fun car I've ever driven!