Yeah basically all the time. I buy a $1 notebook for every RPG I play to record the events from my character's PoV, sketch maps, etc. It helps to feel connected to the world more.

I also try come up with a bit of a personality and backstory for my characters, like the last time I played Morrowind I was an ex-gladiator orc barbarian from Cyrodil with a drinking and gambling problem. He would usually end up drinking too much and getting in fights with inn patrons and never had enough money cause he kept gambling it away, which made it hard to stay appropriately geared. It gave him good incentive to keep working for the blades for the cash however until he became more personally invested in the prophecy and cleaned up his act a bit by the end.

Right now I'm playing a WoW private server as a Wildhammer clan Dwarf warrior who is training to be a griffin rider, so he only uses one-handed maces and axes. I talk to every person in the game in-character and its surprising just how many people will join in once they get over the initial embarrassment of it.