I worked somewhere that required we use them when we left for the day or if we were in meetings all day. It was rather annoying to do every single day. Now I am not at a place that requires it thankfully. I will often put one up if I leave early or if I am arriving late. Also if I am actually out of the office I will also put one up.
In most cases, the voice of your out of office message should be similar to the voice you’re using while communicating with clients. If you’re usually formal, replying with a joke could be jarring — and vice versa. Your mileage may vary, but keep that in mind before setting up an automatic reply.

Proof that some people just Don’t Get It: in response to my out of office voicemail message directing callers to contact my co-worker for anything urgent, a woman left the following message on MY voicemail: “Co-worker, I am having this issue, blah, blah, blah. Please call me at X.” Yeah, I–not co-worker–got the message a week later when I returned.
Of course, managing a minute and a half response time isn’t so easily accomplished when you’re out of office, receiving hundreds of texts each hour, or shifting your attention to a different project.