I've broken a hammer nose on a 3" 65 by dry firing without snap caps, so I use them regularly for dry fire practice.

I use A-Zooms. I just check the polymer "primer," as Green Frog suggested. I also inspect the rest of the snap cap for wear-and-tear. Rims can get beat up, especially with semi-autos. I recently had to throw out one of my .45ACP A-Zooms because it got beat up so bad it wouldn't chamber.

I've used the Pachmayr ones with the spring-loaded "primer." On a few occasions I've had the "primer" get stuck inside its channel.

The problem with using expended rounds is that the fired primer doesn't offer much cushion for the firing pin.

My general rule is that if I'm only cycling the trigger a few times as part of maintenance/function checks, I don't bother with snap caps. But if I'm doing dry fire practice for several minutes, the snap caps go in. They're also handy for practicing reloading and malfunction clearing drills.