I've never felt that need, but a lot of the people when I retook ASL 1 in college (couldn't test out of it) would do it. My teacher told them not to do it, actually. It helps me to view the fingerspelling as a word instead of individual letters. Like:
Instead of actual letters, i.e. J-E-F-F, you see it as Juh-eh-ffff (if you're phonetic)/Jeff. It's like reading.
Some good fingerspelling practice sites:
Dr. Bill Vicars' American Sign Language (ASL) Fingerspelling Practice Site
American Sign Language ASL,