Hey mate,
No, you do not need to run the gas all the time - you can switch it on and off as much as you like. If the gas runs out, you will just go back to the stock performance level of the engine.
Gas injection does make quite a difference on towing and economy - much better in both aspects. For people looking at adding gas injection to their diesel, you need to factor in the amount of towing and miles you will be doing to work out what the ROI would be. If you don't tow big loads all the time or don't do a lot of miles, it may not worth the dollars.
Ben.