I did, and I think it can only help (it certainly can't hurt to). The main scenario I can see this being of importance is if you recently started redirecting to a single domain and Google has previously crawled your site, setting a preferred domain may help to regain your page ranking.
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[ 3.4 ms ] story [ 40.5 ms ] threadI think it's a matter of personal preference - just be consistent with whatever you pick.