I turn off the wi-fi when not in use and at the end of the night I turn off the surge protector that the roku, modem and tv is plugged into. I've never noticed a problem turning it on and off that way, it just takes a while for it to reboot the next day.
I didn't always do that, and I never noticed the roku get hot (not that it doesn't, I just never felt it) or any problems with it except for the occasional freeze up.