Aki Nikaido is often quoted for saying that you should treat dora like a lover. I heavily subscribe to this, and it helps with direction when you have a choice to make.
Let’s take a look at this hand… (that is the actual dora and not the indicator)
The choice is between the 8p and the 5s. Normally, I would recommend trying to secure your two-sided wait toward the edge to increase the likelihood of being able to win off it. However, because of the placement of the dora, I would recommend instead to throw the 5s because you are not going to throw the dora so you should lock that in as a two-side wait.
You will also want to discard it sooner rather than later. It's proximity to dora makes it increasingly dangerous as your opponents’ hands progress.
Something that is also worth considering is that you can actually see three 5s. Two in your hand and one as the dora indicator. That means you’re very unlikely to collect the final one.
Try and keep in mind how dora in a suit tile is going to impact your play and the play of your opponents.
(Example from Japan Professional Mahjong League “Mahjong Fundamentals Collection” p.110)