I think most people do but there are a few people that don't have ash pans and they seem to like that as well. I just found a galvanized feeding tub at Fleet Farm and burned it off and use that under my basket. Its the perfect size.
If you would look in the build section of this site you will find a build with a built in ash tray. It was a spring clip ring that was added to to create a perfect ash tray. Here's a link to it for it was Wutang. http://www.smokingmeatforums.com/for...ad.php?t=76529