The law is that one needs to be in the state of physical purity by ablution (Wuzu) when one wants to pray. This is of course all that is expected in terms of when to have ablution.
However, through experience, it has been noted by many that staying in the state of physical cleanness has a tremendous effect on reminding a person of his status as a servant of the Almighty. This of course does not mean to ‘hold it in’. It means refreshing ablution when it is gone even if the time of prayer has not arrived yet.
Then when the time of prayer arrives the person has a choice to pray on the basis of his state of cleanness from ablution that he had before, or to refresh it even if he is still in the state of cleanness. The former is of course allowed while the latter is preferable.
I need to emphasize that this by no means is a legal demand and should not be treated as such. This is fully a voluntarily extra effort to remain in the state of cleanness (as far as ablution concerns) all the time. If you started doing this and felt that it is bothering you then just forget it. Keep doing it only if you enjoy it.
Let me finish with a story:
This pious man always used to keep himself in the state of physical purity. Once while he was walking towards a lake with his disciples he had to stop and answer the call of nature. Afterwards he performed Tayammum. His disciples reminded him that the water (the lake) is only a short distance away. He replied: Can you guarantee that I will live enough to reach it?
(Dr Abdullah Rahim)