Yup, always have. I was raised to police my brass. I was doing it long before I started reloading. If you left the house with X many loaded rounds, you came back with X many rounds whether they were fired or not.
The only thing I don't pick up on a regular basis is .22's (other than a random few to check firing pin strikes). If I'm on a range shooting .22's and there's a broom and dustpan (indoor) or a shovel (outdoor) handy, I'll throw them away or in a recycling bucket if it's handy. If you want to keep a range open, you ought to leave it looking better than you found it.
One of these days, I'll have a Boone and Crockett buck wander in front of me. I've always wanted to do a European style mount with the antlers and mount the spent case that took the deer just below it. Below that will be a small brass plaque with the date, range and other pertinent information on it. I'm not big on putting deer heads on the wall. I think the antler only mount would look better. I tend to meat hunt because I actually like venison. If it's got antlers showing above the hairline, it's fair game- unless it's doe days, then it better have spots if it wants to live.