I'm glad you asked this question, because I ask myself the same thing everyday.
I usually bring mine with me to work & everywhere, except to run errands. I've thought about letting him run around my bedroom b/c its hardwood....but I have a couch in there & he just recovered from breaking his leg from jumping off the couch about 2 & 1/2 months ago. Granted, he was only 3 lbs then & now he's almost 4 1/2 lbs.
What I do do is keep him on a leash (I use a harness, not a collar). I have the leash attatched to a dumbell & in an area where he can't wrap himself up around anything or jump on anything.
Somebody tell me I worry to much & let my doggie be free
