I didn't back the tension off all the way, but just a couple of notches in the minus direction (the pedals came set up slap back in the middle) - guess I was concerned about coming out the clips a little too easily perhaps... In my other post I mentioned how I struggled to clip IN when I first tried, but it seemed to 'click' (pun intended) when actually riding.
Had my second run with the SPDs yesterday - 10mls each way to the shop to get my bike's check up now that it's a month old. Un-clipping (and clipping in) was no trouble at all, and given that traffic was busy and I had no option but to start/stop with the traffic (behind a bus too), I found the trip was particularly confidence inspiring.
They may not be for everyone, but overwhelmingly I'd say that clipped-in is definitely the way to go!