I really like to incorporate them into failure drills. At the range, I'll often have a friend load random snap caps (or sometimes not) into my mags for both failure drills and to see how my trigger pull is.
I dislike using them at home unless it's to practice double feed type malfunctions etc. I have a room that is quite specifically ammo free for dry fire/presentation practice and don't even bring snap caps into there.
If people see any potential safety issue with what I've typed, please let me know as I am always trying to find the safest way to train.
Edit: Shoot... GKC's post totally went unread by me. Sorry. Glad to hear that others are doing this. With me it's with a training partner we'll trade the snap cap loading for each other.