If you are going to be stationary for more than a few seconds then put the handbrake on. It is also worth saving your clutch (manual cars) and going into neutral if there is a notable delay.
Use your handbrake to secure the car on hill starts and at the finish of every session. Handbrake on, out of gear (neutral) and check all ancillary controls such as lights (unless parking lights are required) and indicators etc are turned off.