Yes, always.
Cleanup is much easier with them.
Draining oil from the pan is mess free with the Fumoto, but both my filters drain oil on them when removing.
My new Santa Fe, I may not after the first change. Put on a Fumoto and have a top mounted cartridge filter, a pretty clean change.
Doing other auto repair, I usually do, but sometimes they get torn or I just need better feel.
Cleanup after a brake job is so easy with gloves.