It takes time for your XEM to get vested. You need 10k vested XEM before you can start harvesting. Each day 10% of your XEM will get vested.
Does my wallet need to be open all that time?
But if you want to be harvesting while your wallet is closed or your computer is turned off please read more here:
http://support.ournem.com/knowledgebase.php?article=8
http://support.ournem.com/knowledgebase.php?article=13
Thank you.
Another question:
Can I create lets say 10 wallets where I will send >10k XEM and enable delegate harvesting for all of them?
Will same effect be achieved with one address/wallet that contains amount of XEM equal to all of that 10 wallets?