I did it with Dishonored all the time. I really enjoyed experimenting with that game, though, so it wasn't so much a matter of "Whoops, I smurfed up; better reload!", but rather "Ah, so that's what happens. What if I do this?"

If I make a decision that I want to make - or that I want my character to make, if I'm roleplaying - then I never reload based on consequences. Those consequences are a key part of enjoying the game, and I feel they add to my experience, good and bad.