The girls most definitely take off their armor while sleeping! Otherwise, they wouldn’t be able to lay down, haha.
The game itself doesn’t expand on the history and creation too much, but our team has had sessions where we discussed the origin and transformation process. Essentially, the girls are materialized from the spirits of destroyed military vehicles. So as they pass into the Armor Blitz realm, they are created with the ability to summon the equipment from their memories.