Not always, but very often. You have to be real careful how much of the low/high end you filter as you can kill a mix, especially if you think you should cut something every time.

In my opinion, the reason for filtering high and low frequencies is to "open up" the mix, so you have to evaluate each one and listen for any of those frequencies that may be sticking out a little too much; sometimes that means you don't cut anything at all.

As far as what "setting", that all depends on the mix and when I do find myself cutting the highs and lows, I tend to audition various types of filters (poles, butterworth, elliptic) as each one affects the mix differently.

Best advice I could give is don't filter because you think you have to, and always try to listen with an impartial point of view to see if what you're doing is actually helping, not hurting the mix. May the force (of a dope HP/LP filter) be with you.