If you're in an area covered by AT&T, just leave it off.
That feature is mainly there so that, if someone takes their AT&T iPhone abroad, the phone will not jump onto a foreign network to check mail, fetch data, etc. I'm not sure if it would do the same in an area with no AT&T coverage in the United States, but I'm guessing it might.
But if you're getting reception, there's no point in turning it on, lest you do leave the country and forget to turn it off.