Shut the diesel off when sailing. Prolonged idling is not good for a diesel. In fact when you start it try to run it at speed for at least a few minutes to get it to full temperature.
Maybe the confusion is what to do with the transmission. Letting the prop spin free is supposed to cause a little less drag but some transmissions will wear unless locked in reverse, check your manual.
Definitely do not leave the diesel running when sailing at it interferes with the illusion that we are real sailors rather than motor sailors.