he answer is: YES and NO, it depends on the situation.
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So:

- In a normal usage, if the laptop doesn't get too hot (CPU and Hard Disk around 40ºC to 50ºC) the battery should remain in the laptop socket;

- In an intensive usage which leads to a large amount of heat produced (i.e. Games, temperatures above 60ºC) the battery should be removed from the socket in order to prevent unwanted heating.