I no longer keep my bluetooth off and have started to say 'Yes' to the prompt, "Receive Bluetooth Message from ABCXX?". A word of caution:Don't try this on any second edition device. Around a month back I forgot to turn off my BT after some transfer and then while in a bus I started getting BT message prompts. I said no twice but then the third time I accepted it. The message was what I feared , a sis file. I know sis files are mostly for 2nd edition devices and it would probably not install on my N95, but a sisx file can always be renamed with a sis. But still I tried installing it and the message was "Not supported". Any ways had it been a 3rd edition installable I would still have an option of verifying the supplier etc... during installation. So it seems like keeping the BT ON always ain't so much of a harm on 3rd edition devices.
Next I got this BT prompt in a mall. I was at Shoppers Stop and got a confirmation prompt "Receive Bluetooth message from Shoppers Stop?" , again I said yes. There were around 4-5 messages that followed and they were mostly offers on various brands over there. So no harm here too.
So if you own a 3rd edition device stop that habit of switching off the BT after every file transfer ;)