I used to, it probably depends on the situation you have in reality. I had some depression issues last year, that combined with summer heat and depression causing medications made me go into a spiral of suicidal thoughts and heavy (bottom of the pit) type of depression. During those times, whenever I wake up and remember my dreams (or at least the sensation of it) and remember my current situation. I feel that I wanted to go back to the dream and never wake up. Because the dream is more normal, that I had more control in it even though it wasn't lucid.
But when I stopped the medications and I started to cope with my situation, my depression faded and everything went back to some degree of normality. There are of course dreams that are so amazing I still don't want to wake up, but that's because the dream is amazing.
Well, there were also those moments where I wake up and become glad that it was all just a dream. That my situation in reality is better. (although most of those were before my depression last year)