It is almost always better to turn gear off when not listening and turn it back on when resuming a listening session. Tubes are not light bulbs which are designed to come on instantly so they don’t suffer as much from thermal shock from being turned on. Still, a lot of tube amps do employ some sort of soft start circuit that ramps up slowly and/or heats up the cathode first before the full plate voltage is applied (to avoid “cathode stripping”). An amp with a tube rectifier can have the rectifier act as the soft start feature.
The other practice to avoid is turning off an amp and then turning it back on again after a few seconds; the discharge from the caps can be damaging under these conditions. Wait a minute or two before turning the amp back on.
Amps that don’t need the owner to adjust bias (cathode biased) tend to run tubes more gently. This setup does not allow the circuit to extract quite as much output from the tube, but the reward is often a longer life.