But I've heard that you're not supposed to cover your air conditioner?

This isn't an uncommon thing to be told and if you're using an improperly designed cover (cheap generic covers, plastic, garbage bags, etc.) you're actually setting yourself up for condensation problems, amongst other things, which will do more damage than not covering your unit at all. 

However, a properly designed, custom fitting and expertly constructed cover will protect your air conditioner, increase it's efficiency and save you money for years.