I did when I learnt reading. Of course I moved my finger a lot faster, since I thought the other kids would say "wow, you read fast" instead of "you're just pretending to read". Anyway, by doing that, you can actually learn to read really fast. So now you have to go back a page instead of a sentence.

I find a bookmark much easier to use for this purpose, since it also blocks the text below it and gives me a clear visual line to follow across the page.