Yes you must legally leave them on and add either a 'scald' resistant eartag, or a slapmark with your holding on under The Pigs (Records, Identification and Movement) Order 2011 section 22. 'No person may, unless authorised by the Secretary of State, remove or deface an identification mark.'
This may cause some confusion at the slaughterhouse, which is why we recommend that people get their weaners on a temporary mark.
Although if you slapmark, the abattoir should use that in preference to an eartag.