Yes, I do, but my filter goes on horizontally, so It takes more effort to do, and I can't put as much in as I could on a vertical one. It certainly doesn't hurt.
I usually change mine when I start to notice the oil pressure light staying on at startup, I figure that the anti-drainback valve is getting tired. It's always nice to see the light go out right away again (barring the first start where it has to re-fill the system).