I'd leave them on as they will keep the water oxygenated. Give it a few days to clear up, and then you should be ready to start your cycle. You will want to add in at least 1 piece of live rock to get the cycle started. The live sand might have some bacteria still in it, but often its already pretty dead when it gets to you. The live rock will have a population of nitrifying bacteria, and when you add a piece of raw shrimp to the tank to start the cycle then the bacteria will reproduce. Once there is enough bacteria to process the ammonia and nitrites, you will see those two levels peak and then drop to 0. If you don't add a piece of live rock in at the start of your cycle, then there is no bacteria in there to start growing!