I have never used a filter purely to be sacraficial. I do usually have my CP on when I'm outdoors, unless it's really overcast or low light. I do take a lot of photos though without a filter at all. One issue I have though is that my CP is an ultra thin for use on wide angle lenses. Because of this, it has no outer lip (or outer threads) that allow me to use a typical lens cap. i want to get one of those rubber boot type caps for my good lens, but I have yet to do it.

I am just really careful when handling. When I'm walking/hiking/climbing with it in hand to be ready, more often than not I have the strap looped around my arm or wrist so that at elast if I do drop it, it will only go so far and I have a chance to catch it.

Admittedly though, you never think you would drop it even being careful, but when you do, you wish you had done something to try and keep damage to a minimum. I'd much rather replace a $200 CP filter than a $1200 lens.