Depends on who the base runner is. If he was 31-2 in steal attempts, let him try. If his success rate was less than 75%, you're throwing away precious outs, especially in leagues in which most owners draft catchers with A or A+ arms.
If I played live, I'd try to steal now and then for strategic reasons; however, the computer has lousy judgment about stealing, so I set most of my players at 0 for stealing.