Dumb Question 36

I just bought a used Conrad Johnson PF-R pre-amp and noticed that it has no power on/off button. Am I supposed to leave the unit on all the time? Is this a common practice in audio quipment these days? This is the first unit I have ever seen with no power switch. I have heard that there is a certain protocal you should use when turning on your system and reverse the procedure when turning it off(something like turn pre-amp on first then power amp and then reverse the procdure to shut down). I presently have the amp and pre-amp plugged into the same surge protector. When I turn on the power button of the surge protector naturally both units come on--no problems--but when I turn off the power through the surge protector I get a LOUD "POP" from the speakers. This can't be right so how do I hook up the sytem to the power correctly?

Thanks.

Steve