A question of Etiquette

Cayne and I were discussing hat-wearing etiquette the other day, and how few people do things like take off their baseball caps when they're inside, though I was pleased to see how many people took their caps off for the National Anthem when we went to the Yankee game last weekend.

So here's the question...in a domed statium, at a baseball game, is it appropriate to wear or to remove one's hat?