Many people do, but there are many different approaches to this, and the main key here is to use your ears. Try it! Virtually all music that’s commercially available today has been compressed at least a little bit while mixing, and again at the mastering phase. Every genre of music is different though, and the same mix compression applied to a Rock, Jazz, and Electronic song will obviously have vastly different results. No matter what you do though, take it easy. Compression is nearly impossible to un-do, and it’s very easy to ruin a mix by over-compressing. It’s not always wrong to compress heavily, but it must be done skillfully and carefully. Make sure the compressor is set to unity gain, and try some gentle settings. For starters, you can try a fairly low ratio (4:1 or lower), attack time of 30ms, and a release time of 20 ms. Keep an eye on the meter, and take care that the gain reduction is 2-3 dB maximum for the loudest peaks. Bypass it, put it back in, and repeat. Adjust until it sounds good to you, but remember…when in doubt, leave it out. Some gear to use judiciously on the mix buss might be, Summit DCL 200, Chandler TG1, Maselec MLA-2, and Elysia Xpressor.