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I think most people do but there are a few people that don't have ash pans and they seem to like that as well. I just found a galvanized feeding tub at Fleet Farm and burned it off and use that under my basket. Its the perfect size.
If you would look in the build section of this site you will find a build with a built in ash tray. It was a spring clip ring that was added to to create a perfect ash tray. Here's a link to it for it was Wutang. http://www.smokingmeatforums.com/for...ad.php?t=76529
No ash pan here, just have a removable bottom, works great for major cleaning but was thinking I would add pizza pan to mine just for eze of use. Otherwise I just shop vac it out.