I don't set it every time I park, but set it at least once a day. My driveway is sloped so I always set it there and any other time I park on a slope.
Auto headlights are an intelligent safety feature. You may remember to use yours when needed, but for sure every other driver doesn't think to - in conditions like rain, light fog/mist, etc, when his car is more visible to you because his lights came on when he turned the key. I trust that feature more than the intelligence of some of the drivers I've seen on the road.
-Spyder