I hate to admit it...but I do occasionally. But, I'm trying to break myself of this habit completely as I enjoy games more when I just take the hit and move on.
My latest game I broke my rule though when: I started on an island as Polynesia with NINE wines, and I got beat to monasteries by just a few turns. Funny thing is...the other AI has no reason to take monasteries...I have all the world's wines on my island...but they just like buildings. I found out that I had a game full of religious nuts. 3 religions enhanced with reformation beliefs by turn 90...ridiculous. I made religion 4 when I enhanced and took reformation beliefs by turn 95.
It was immortal so the only reason they were beating me is they all started with Piety, but I still feel bad about reloading...even though I have a sweet religion now. I guess I'm more likely to reload in the beginning, when I feel sinking that many turns into something I lost may cost the game.