Do I have to turn off my Convoy 3 before I change the battery?
No...But removing the battery to change it will automatically turn off the phone. You'll have to restart it once the new battery is installed.
If that was a typo and you actually meant "before I charge the battery" - the answer is still no - you can charge the phone with it on or off. It will charge a bit more slowly if you are using it while it is charging.