I did in the beginning because I leaked constantly. For a few weeks post partum, if felt like if I sneezed I leaked everywhere.
Around 4 months, my supply leveled off and I no longer wear breastpads at all, not even at night. With my first child, I had to wear pads for the full 12 months; the milk just never quit coming!
I would just make sure you get one that is very breathable (no plastic backs) that has a sticky tape part to stay in place in your bra. If you're at home exercising and they bother you, just take them out. So what if you get a little milky?