The only problem with leaving the camera turned on is that the sensor is still 'charged'. It's an electrical charge, much like static electricity that will attract dust. Turning it off is the better choice, for any lens change (or simply just taking the lens off), but as Scott says, I wouldn't lose sleep over it. I also try to keep the camera's lens mount facing down when I change lenses (camera turned on OR off), again just to keep the amount of dust to a minimum.
I once did a photo-shoot in an industrial metal recycling plant.... very small metallic dust in the air. It was so bad, I had to literally walk out of the plant to change lenses.