Have I *always*? No. Do I normally, yes.
I guess it all depends on how sharp the chain is and what you are doing with it.
Daughter repaired a garden saw for someone and sharpened it whilst she was there. Whilst doing so she noticed a broken tooth and so when handing it back to the customer, took the scabbard off and went to rotate the chain to show him the broken tooth. She slipped slightly and took a nasty chunk out of the back of one of her fingers that took ages to heal. All the other times she was working on the saw she was wearing gloves of course and hasn't hurt herself like that previously AFAIK. ;-(
Well, I would go as far as to say 'thick' gloves were an ideal choice (as you say, exactly what are you doing with the thing) but I generally wear some sort of glove when working on any engines or other hot / greasy things, simply to save my hands getting covered in grease, cut, pinched or burned (or getting dermatitis). Even some thinish gloves can save quite a bit of damage to skin.
When not dealing with something specifically nasty I wear gloves that have a reasonably thin rubber grip (but thicker than those surgical type gloves that I usually tear putting on) that have cotton backs that stop your hands getting all sweaty.
Cheers, T i m
p.s. When she was taking her CS-30 the examiner asked one of the other students if he was happy he had finished re-assembling the saw and that it was ready for inspection. The student replied 'yes'. He asked again, if he was sure and again, 'yes'. He then failed him because he had put the chain on back_to_front. ;-(