I do. The consequences of giving preventive treatment if your dog already has heartworm can be fatal. I might be a day or two late giving it, and one year I swore I gave it every month but had one pill left over at the end of the season!
Here's a statement from the MVMA, that explains why it is preferred to test yearly, even when on preventives:
https://www.mvma.ca/sites/default/files/u522/Heartworm%20May11.pdf