If it's easier to take them off the roosts at night and do it, then do it then. It doesn't really matter, do what works for you and for them. I have not had issues with them messing with what I put on their legs. It may get dirty, dirt/dust will stick to the oil/vaseline, but I wouldn't worry about it, the important thing is to smother the mites. Something thick works best for that, the Theracyn might not be thick enough. Some use Nu-stock ointment and find it works well. That might be a better choice.