I don't bother, because at lights/stop signs I stop very slowly (such that a car isn't going to rear-end me). At turns, I signal well in advance, and also try to take the turn with some speed so that any cars behind me don't underestimate my braking.
I've never quite understood Sheldon's argument there. On a bike there's absolutely no point in doing all your signalling left-handed as there is in a car since you're not, well, in a car. I think drivers are much more likely to understand an outstretched right hand.