Always. I do alot of online buying (way more than I should) and although I mark on my desk calender the date I purchase something with an expected received date, I forget what I ordered sometimes and from whom. As a buyer, I want to open my package and cross check it against the contents in the package right then and there. I don't want to go hunt any print outs, purchase sections, or emails (the worst) to see what I ordered.
I have occasionally ordered items that came without receipts and found it time consuming to go searching for paperwork, especially when I'm ordering multiple supplies.
Just my opinion, but for me personally, it gives a more professional aspect. I include the item along with a pay pal receipt (unless gift), write a thank you note on the receipt, and include my business card and when I remember...a coupon for the next purchase.