I nearly always have my headlights on so I can be seen. BUT in bright sunlight - especially when it is low - I turn them off.
I remember an article from years back on how lights can be used as a form of camouflage. E.G. If a tank is rolling over a hilltop the outline is easily seen. But stick lights on it and it blends in with the sky and you can't see it.
Same thing happens with vehicles on the roads. I'm pretty sure it's widely known, but I can't find links atm. I've observed it myself quite often.
Black vehicles may be immune to this problem, because there's contrast between the lights and the black paint. But with white vehicles ... you need to think it through.
I do try to leave sidelights on though, for one reason. It's a PITA mistaking a queue of stationary cars with no lights on with parked cars, then going to overtake them and realising they aren't parked at all, just stuck in a jam. Sidelights prevent that confusion.