Yes and no.
Sometimes I'm forced to mix with headphones due to noise constraints but I'll save the mixed headphone versions as a separate file from the original file so that I can listen to both versions the morning after with fresh ears. Before finishing a mix though I'll listen to it through several different sources to make sure it sounds bearable through each source.
iPod earbuds, laptop speakers, studio monitors, cheap headphones, cheap desktop speakers, home theatre system with sub, car... blah blah blah.