The Shulchan Aruch - Orach Chaim 24:1 writes:
...וטוב ונכון להיות כל אדם זהיר ללבוש טלית קטן כל היום כדי שיזכיר המצות בכל רגע
It is good and correct that a person should be cautious to wear a small tallis every day, in order that he should remember the mitzvos at every moment.
Indeed the Gemara in Menachos 41a relates a fascinating story about a dialogue between Rav Ketina and a malach who tells him off for not wearing tzitzis. Although it wasn't regarded an aveira, Rav Ketina's inability to perform a positive mitzvah gave rise to a punishment during a period of Divine anger.
With this in mind - are there any poskim that talk about wearing Tzitzis whilst doing sport. Surely the resultant sweat and grime that builds up is a g'nai (disgrace) for the mitzvah and thus would it be better to not wear them whilst doing sport? Or, even if the beged gets soaked with sweat, that is still preferable as you are continuing to wear your tzitzis?