Exactly what I do, they have the benefit that you can write on them so you can identify a load of lenses stood in a bag. You can also use them to take a custom white balance.
Not true. Most, yes, but not all. Some filters are designed with very thin frames to prevent vignetting at wide angle - sometimes the front thread is sacrificed so there's nothing for the cap to grip. I think the Hoya Super-HMC are like this (though the other Hoyas - HMC, Pro1 and HD - should be OK).
I had such a filter and it was really annoying having to unscrew it to put the lens cap on.
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