You will get a lot of answers to this but really depends on the weather you are anticipating and the amount of light exposure. Also depends on the plant you are grafting. If really hot and dry, you might cover to help keep cool and moist (think desert climate).
If temps are still cool and not a lot of direct sun and heat exposure, you should be fine leaving it wrapped with grafting tape. I have never covered my grafts with a bag or covering of any sort, other than grafting tape and I have had probably 90% overall success with grafts across multiple plant/tree types. Grafting really is surprisingly fun and easy if you make clean cuts, align the cambium nicely and wrap well with tape.
It is spring and in most areas, things are not too hot yet. As long as it is not in direct, hot sun, a good wrap with grafting tape is probably going to suit you perfectly. (I am waiting for the critics to jump all over me here!)
The only time I have covered was when air-layering and in that case, I always do.
Hope that helps and good luck!