In urban riding, it probably makes little difference, but as I have a SON hub dynamo on the Brompton, there's no downside to leaving the lights on all the time (SON claims 4% drag with lights on vs 1% with lights off, but I can't detect the difference).
On rural roads, where I may have traffic approaching at 60mph plus, I want them to see me as far ahead as possible, so have Dinottes in strobe mode front and rear (amber to rear). They make a huge difference.