I keep one in my pocket as well, or on a lanyard around my neck.
In either case, it's just always running. I got a set of rechargeable batteries (Mine runs for about 8 hours on one AAA battery), and start it before walking out the door. If there's audio that needs saving I save it to my computer before wiping it and popping a fresh battery in it once I'm home.
Insofar as legality: So long as you are a party to the conversation, you may lawfully record without notification. IF YOU ARE NOT A PARTY TO THE CONVERSATION, you only need to notify if the party has a reasonable expectation of privacy from your ears.