Its better to leave the wheels/tires on the vehicle for the brake adjustment. The reason is that most adjusting procedures specify tightening the adjuster to obtain a "heavy drag" on the brake. "Heavy drag" is a matter of opinion, but usually it means a strong pull with both hands pulling at the tread to rotate the wheel. Then you back off the adjuster until the wheel turns with only a very slight drag, or backed off slightly more if you want to, but not enough loosening to defeat the adjustment. With the wheel off the vehicle, the "heavy drag" is a little more difficult to determine. I've done brake adjustments both ways and I make the decision based on what is convenient at the time. I wouldn't take wheels off just to do a brake adjustment, nor would I put them on if there was more to do that required them to be off. In that situation, I would do the brake adjustment with wheels off, just so as not overlook that procedure, then have to spend extra time to correct the oversight. But I've done quite a few brake adjustments.
Harvester
