I used to on Stars to evaluate hands, but it's a bannable offense if you use a live HUD on some sites. So check before you use it. If you use it afterwards to analyse your game it's fine I think.
I primarily play on GG these days, which has an inbuild HUD so it's not needed really.
Personally, I don't use any additional software. But I know several players who do use it and say that this software allows them to play more effectively.
