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I think some people do it to protect the wires from moisture. I've heard that it can cause problems with them. I wrapped mine once and it was such a pain that I never bothered after that.
I don't clean the cable lead. I just wipe down the probe with one of those Clorox sanitizing wipes. If the probe is really discolored, I use a 3M Scotchbrite green pad on it. I never use water on or near the probe opening or the cables as I've heard many times that will be the death of them.