i do it at times. heck, during that "well, i'll need them when i get replaceable parts/railroads/biology/state property but don't need them to do anything right now" stage and have the time and patience, sometimes i have them improves tiles on the edges of my empire but not in my city crosses.
sounds bizarre, i know. but the AI simply can't resist stopping to pillage. and that gives me more time to shuffle units between cities while they make their approach *giggle*. some folks delete their during that stage, sometimes i delete some but not most and have them take a nap in a nice banana patch, and sometimes i keep them busy so that the enemy will be busy on their way to me later.