I try to. Usually the first symptom for me is a day of overwhelming fatigue and it's hit or miss then, but if I'm sniffly or something and it stays up in my head (rather than chest) then yes. And it always makes me feel better.
I workout as well even if I feel a cold coming on - I DON'T workout if I'm sick-sick though. I take a packet of Emergen-C every day and that really helps to ward off the sickies. Of course I know getting sick eventually is inevitable, of course.