Yes, you are right. I leave them running on M1. And once a month I just switch between the different time frames, to make sure it will gather the data.
Not a bad idea, to download the data from time to time. In case, you reinstall MetaTrader one day and you forget to download it.
However, if you are using JFD, you can use the MetaTrader-Demo data in EA Studio. It comes from JFD. There are 10 currency pairs, so if you want to trade any other assets you can collect for those.
Cheers,