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In fact, I took it off for the first track event and never put it back on (mostly out of laziness). Think it adds drag so for the street you can put it back on for a little better fuel economy. Was slightly worried about over-cooling on the street, but haven't seemed to notice any problems and think some people take them off for "looks" anyway.
You have two little plastic pieces (one on each side and one of which is also the tow hook opening) to remove and then the center pieces - which are two pieces exactly as shown in the picture (the smaller one goes into the bigger one). Then replace the two little side pieces (or just the one if using a tow hook).