I never have personally. I usually do give them a rinse though and look them over for some of those undesirables (snails in particular).
I guess it isn't a bad idea, but I would doubt most people go through the process. You are probably further ahead to try to assure you are getting healthy plants to begin with. If you are buying online this is a problem, but if you are selecting them from a LFS inspect the tank a bit first. Are the plants and fish in the LFS's tank healthy? Or do the plant leaves look like they are riddled with bullet holes and fish spotted with ich? If you see pond snails all over the stores display tank, you can bet your money that there will at least be eggs on the plants you are getting from it.
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