Yup! They may be a little stinky in their adult form, but their larvae are great at getting rid of pests like aphids! Here's a cool little video of them doing just that

As with most insects, it pretty much always depends on how convenient / inconvenient it is to capture & release them at the time of finding them. If it is very late and they sit in a bad spot then I'm not gonna go through the hassle. If they release some stink bomb shit when feeling threatened then I'm even less inclined to do so.