Well as a general rule, if you are looking before you need it, then you are staying in practice for interviews, and that counts for a lot. Interviewing is a very different skill than our typical day to day activities, and it's easy to fall out of practice.
That said, interviewing is only half of the process. Yes, the job market is pretty saturated right now, so even if you interview very well, just getting interviews can be a challenge. At least in my experiences, the best way to get interviews is to know someone connected to a job.
So it can really help your chances just to be part of communities and get to know people in the industry, particularly outside of your current company. Maintaining relationships with your network is going to be the most effective way of getting your foot in the door
Personally, I would hold no loyalty to a company that shows no loyalty to you. Don't make it obvious to your current company that you are looking, because sometimes they take it personally, but don't feel bad about already shopping around either.