SOTW Columnist, Distinguished SOTW Member
+1. This is how I always do it; horn stays in the case until set up is complete and is back in the case first thing after the gig, prior to breaking down other equipment. It never occurred to me to do otherwise.My horns don't come out of their cases until everyone else is set-up and I know they'll be safe. They will then be back in their cases before the applause from the last song has faded out.
As to theft protection on the gig, once my horn is out on the stand (sometimes safely stowed behind the drum kit), it's never out of my sight or another band member's sight. When in its case, it's never out of sight and usually close at hand. I don't leave it in the car as a rule, but if I do have to leave it for a short period, it's in the trunk, assuming the car is parked in a relatively 'safe' location. I never leave the horn in the car (trunk or otherwise) overnight. It comes in the house immediately when I get home.