I measure mine! I'm in this to lose weight, I'm not going to be dieting and exercising like this for the rest of my life. I work out really hard and really watch what I eat, so just like mkendrick, I want to know exactly what I'm eating and what I'm burning off. It all depends on what you're in this for. I have a strict deadline (my wedding), so that's added motivation.
Robsia - it's not about eating what you've burnt off, it's simply keeping track of what's going in and out!
Anyway, mkendrick, I use Foodfocus to measure my calories. I ignore what the calories on my exercise bike and stepper say and just input what it says on the website. Also, if I do something like Wii Fit or EA Sports, where it tells you how many calories you've burnt, I stick that number. For example, my stepper today told me I burnt 500 calories, but the website said it was more like 200. So I took the lower number, figuring that any excess is a bonus. I'd rather underestimate than overestimate.
It sounds like you're making lots of cautious adjustments - I have to say I'm not that conscientious! But, I have lost weight with this method, so I'm sticking with it.