I take a more positive approach than above, because ~99% of all the animals in our tanks are beneficial as part of the amazing diversity of the ocean ecosystem. I leave new organisms alone and enjoy them, only removing one if it is seen doing harm or I find out for sure it is bad. The fact that it's roaming means it's not finding a preferred food. Unfortunately, almost all Nudibranchs eventually fade away and disappear due to starvation but until then - enjoy it.
Here are a couple of the good Nudibranchs I've kept.
Hooded Nudibranch
Spanish Dancer
and lastly, the only one I ever found that needed to be removed, as it appeared to be the type that eat Leather Coral.
Aloha,
Mark
