I tried riding without the clips so I could remove the pedals frequently and easily, but my shoe would cause the QR mechanism to activate which wasn't much fun.
Same experience here though other reported that they had no problem riding without the clips.
One way to not loosing them is to put them back on the crank after you remove the pedal. The Superior line of MKS pedals do not need a clip
http://www.thorusa.com/accessories/pedals.htm