You should unhook the battery but I never do on my machines, never had an issue. When welding on someone elses then I unhook the battery(probably wasting my time). As others have said hook as close as possible try not to fun the current through bearing and such.
Tvanharp, why are you using the 7018 rod instead of 6011? Just curious, I have used both but for most welds I've found 6011 to be a much better choice, easier to work with and cleaner. For cast steal and such then the 7018 comes out and I treat it much like I would if it were cast iron.
If you get a chance try the 6011, to me it seems easier to use for the common stuff.