For some reason, I've always been meaning to for any Pokemon but either I never get to the level where I finish the game or if I finish the game, I never get around to actually catching with the Masterball. I'm kind of hoping to change that when I replay some of the Pokemon games that I have and whatnot but not really if I'm being honest here.
I haven't used my Master Ball in ages. I'm pretty sure I have a decent stockpile of them in the 4th Gen games and even won a few extra from the ID Lotto thanks to mass trading on the GTS.
I like to find a Legendary Pok?mon and then watch someone walk up to the same on YouTube. This allows me to save literally one step before the battle (especially if it is a forced battle) and then reset if I use up all of my Ultra Balls.
I have only recently adopted this method of capturing Pok?mon.
Legendaries I'm fond of I'll try to capture in different pokeballs so they can have cooler pokeball animations. But if I'm in a rush I'll use a masterball. I caught Alpha Kyogre with a premier ball. I meant to get him in a dive ball but luck have you...
I find it's easier nowadays to catch the legendaries, I think they may have upped the catch rate on them or something. Usually I just head online and have my friends send me catching power to help me though, so I've still got my master ball in Y and Omega Ruby. Funny enough, I chucked a net ball at Yveltal, and caught it first try, guess it was just stupid luck, I didn't even have the catching power up at the time.