Do I have to shoot a whole film roll on the same ISO?

In addition to Saaru's good answer, I wanted to point out that the reason you might have been switching around the ISO setting and not really noticing much difference is because film has reasonably good exposure latitude, and images can be "recovered" with some success from underexposed and overexposed film. Probably the machines/operators at the lab where you are having your film processed are doing this automatically for you.

But as Saaru mentioned, you should set the ISO setting on the camera to the ISO indicated on the film, so that the camera knows what exposure is needed for your film. This doesn't at all mean that "evening shots just turn out black". In low light, you just need to use a wide aperture and/or long exposure duration (or, add artificial light). Beware of camera shake - use a tripod in low light, or rest the camera on a wall or something.

I recommend always trying to expose film properly. If you think you can get away with underexposing your film too much - just because you want to use a faster shutter speed - you will be sure to be disappointed with your results. You must work within the constraints of film photography.

Others have explained why you should set the ISO on the camera properly to reflect the film used.

However, note that there is a different control you can use after that: exposure compensation, often with a symbol that looks like a ± or a black and white gradient.

On old mechanical systems you can see that they are actually on the same knob; the ISO setting just moves the scale on the 0-centered exposure control.

Use this control to adjust the automatic exposure or the metering display, not the ISO dial.

On cameras without dedicated exposure compensation controls, changing the ISO setting is the way exposure compensation is done in automatic exposure modes. It sounds like that is how you are using it.

Since you are not shooting the whole roll with a single ISO setting it is obvious that you don’t have to use a single ISO for the roll.

Technically what you are doing is changing the Exposure Index (EI). Exposure Index is how you as a photographer choose to rate the film based on your photographic intent. For example when the subject is backlit or when the sky is a distraction.

ISO is a technical measure of a particular film’s sensitivity that rolls a lot of different characteristics into a single number. It ignores variations in sensitivity at different frequencies, contrast characteristics, base fog, etc.

Similarly a camera light meter is at best making an educated guess as to what you might want. Since it measures reflected rather than incident light, it can be very much wrong.

Since you are happy with the results you are getting from switching ISO (EI), there is not an obvious reason to change what you are doing. It is fine not to change something that works.

Most photographic rules are nonsense. Ansel Adam’s three volume series, The Camera, The Negative,, and The Print are full of advice and very short on rules.

If I have ISO 100 speed film in a camera and choose to expose for ISO 400 speed film, I'm underexposing by two stops. It is true that ISO 400 film is more sensitive (and thus brighter) than ISO 100 film. But when I change my camera's ISO setting to '400' I'm not actually changing the film's sensitivity to ISO 400 - I've still got ISO 100 film loaded! What I am doing is reducing the amount of light the camera's meter says my film needs to be 'properly' exposed. So my film winds up underexposed by two stops.

In other words, the ISO setting for film cameras doesn't affect the sensitivity or 'speed' of the film at all. Rather, it affects the calibration of the camera's meter by telling it how sensitive the film that is loaded is.

When that film is developed, it needs to be pushed two stops brighter to get more or less 'proper' exposure. But the result will be lower contrast (brighter shadows) and coarser grain than if the film had been metered and exposed for ISO 100 and normally developed.

If you overexpose your film, you would normally pull process it by developing it for less time than normal. This will tend to increase contrast in the mid-tones and dark areas and muddy the shadows, but highlights that have been totally blown will not show detail, they'll just appear to be a uniform bright gray when printed.

The problem with changing the ISO setting while shooting a roll of film (unless you are thoughtfully using it as an exposure compensation control) is that the entire roll will almost certainly be developed for the same amount of time. Unless you're willing to skip every other frame when shooting, then fumble around in the dark and count sprocket holes by touch (without getting fingerprints on the actual exposed frames) in order to clip different parts of the film apart before developing it, the entire roll gets the same amount of development.

When you do a bit of both over and underexposing on the same roll and don't tell the film processors any differently, the film will be developed at box speed. When prints are made from the negatives, the machine that scans the film will usually automatically try to adjust for under/over exposure. Since most film has a pretty wide exposure latitude, in skilled hands the printing lab can usually pull decent results out of slightly over or underexposed negatives.