When I trained they taught us to reload if the opportunity presents itself. If the mag you are taking out of the weapon is empty you drop it on the ground (so you don't accidentally reload an empty mag later). If the mag has some rounds left in it you stuff it in your pocket or belt (in case you run out of full mags-you go back to the partial mag).
Take into consideration this was based on starting with one full mag in the weapon and two on your belt.
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