Logitech Harmony Setup Question

I recently purchased a Logitech Harmony remote and my only complaint is that when switching from one activity to another there isn't a way to keep components from turning off all the time. Today, I setup some secondary activities that will force it to turn on all of the components on no matter what activity I choose. My reason for doing this is so that I can listen to CDs while watching TV without having to get deeper into the device menues.

Is it better to have components turning on and off every time I change activities or to simply turn them all on every time and then all off together at the end?

The remote has a very hi WAF and is very close to doing everything that I would want, but nothings perfect...