I used to go to Standby before changing code.
These days however, I reckon its the lesser of two evils to leave it on.
As is mentioned in posts above, it probably won't cause a problem as the radar hardware will solve it.
It should also be considered that although you could cause a temporary error in your 4096 code, at least by keeping your transponder 'On' your Altitude Reporting data is still going out. This is important so that TCAS can operate correctly. By going to Standby you become invisible to the other guys TCAS.
Whilst I don't have any figures to prove it, having looked at TCAS incident reports I get the impression that the hand over from one controller to another is a risk factor. Since a change in squawk is part of the hand over process, it would seem sensible to ensure that your Altitude reporting is kept active. TCAS doesn't care about your 4096 code.
Any thoughts, anyone?
CPB