While I think in general it's silly to allow potential miles to go uncredited, I wouldn't bother if I'm flying outside my own airline/alliance of choice. For example, earlier this year, I flew LHR-RAK on BA, but didn't bother signing up for the FFP; I didn't think the 2800 or so miles would have been any use.

On the other hand, I have a good friend who flies a lot on DL, and has never bothered to sign up for an account with them. He even just flew a long haul on DL (NRT-ATL) and plans on doing it again later this year. I'm really hoping the many stories I tell about the perks I've gotten as an elite (on UA) will entice him to finally sign up for a frequent flyer account.