I just learned something I should have learned when I first started flying rc planes - turn on the TX first before powering up the RX. I just got a no-name ESC that when I plugged the battery into the RX and then turned on the TX, the motor started spinning full speed and the throttle would not shut it off.
Fortunately I was testing the motor without a prop so no damage done.
From now on I will turn my TX on first and turn it off last.

Correct, as you wrote, radio must always be on when plane battery is plugged in.
But please check your settings carefully- if your radio is off or if the signal is somehow lost, it must go into Failsafe mode, meaning the motor MUST shut down, and depending on your receiver, the control surfaces will hold the last command, or go to a preset setting.
Otherwise, the way you have it now, if you lose the radio signal, it will fly away uncontrolled and at full speed. potentially becoming a danger.

Thank you sbarro. Will do.