The only time we don't, is when we are diving within 30 feet of our dock (on a small land-locked lake). But when we do this, we leave it visible on the dock.
I use the one with a flag positioned on top, blow up the middle section and put water or sand in the lowest section. I use a 3/16" yellow nylon rope and plastic unit to wind the rope around. It is a bit of a pain having to hold the unit, especially on windy days, but I'm getting used to it.
As an aside, does anyone know how far away motorized (and non-motorized) boats must be from the flag and what speeds are allowed? I've tried to find the requlations for Canada, specifically for Ontario and Quebec, but they state "a safe distance".
But so far, no-one has dropped an anchor or fishing line near us.