I almost always do- occasionally I forget and then curse myself for it. It's much easier to judge lights and darks when you're starting out on a mid-toned surface. Usually I use Burnt Sienna acrylic, and prepare a whole stack of panels at once. I really love the way this colour complements greens, which are usually abundant in my plein air paintings.
If I'm painting on paper, I do it right before I start the painting and often use a muddy red, blue or a roughly-mixed greenish colour, as I rarely keep Burnt Sienna on my palette for the actual painting process. How much the colour shows through at the end varies, as I keep experimenting with my technique.
It's something I keep playing with, though, I wouldn't consider myself too stuck in my ways yet... Just as long as I'm not painting on a white surface!