You can do that, or leave it is REM (remote run) which will allow you to put the PLC in program or run mode from RSLogix5.
When you attempt to download to a running processor, the software will warn you that the PLC is in remote run mode and ask permission to switch it to program mode, and when done with the download, it will prompt you again to switch it back to run. Then you'll get another pop-up dialog box asking if you want to go online.
If the keyswitch is in RUN mode, you will not be allowed to download. Leaving the keyswitch in REM is the most convenient, but for greater security sometimes they are left in RUN mode.
Hope this helps,
Paul