I never do. Snap caps for everything unless I can de-cock the hammer. (easy on bolt guns) Why? I hate replacing firing pins. Granted, I haven't HAD to, but I chalk that up to never dry firing.
I recently had to replace the firing pins on a 1979 (inherited) 20ga. Browning Citori. Turns out replacement pins from Browning have to be "made to fit". Basically, a hand drill, files, a Dremel, paper and Scotchbrite pads...and one heck of allot of patience/test-fitting. I bought 20ga (red aluminum) snap caps for that gun before I took possession of it, but it's previous owner either wore them out..or dry fired it allot maybe..? Regardless, dry firing is easy to avoid, so I avoid it.