I never do it. Never noticed a difference in time to pressure on the vehicle I maintain with a real oil pressure gauge. If you think about it, especially if you're the type that lets the oil drain for hours, the main oil galley from the pump to the filter is gonna be dry, especially in systems where the filter is above the pump. If you could actually measure it, maybe you get oil to the system .001 seconds faster.
Like AJ said, best thing is to prime the system somehow, like the system Amsoil has that uses compressed air.