Hi Newbie,
No you do not need to shut the welding machine off, every time you move the clamp. No need of insulated handles. Electrical shocks usually occur, if your gloves are wet and you are working outside on a wet, damp day. The shock will not kill you, but just wake you up. I've had a few in my day, usually because my gloves were too wet. Always keep a dry pair handy.