I've never done it either, and none of my many steel bikes have suffered from significant rust problems, from the one I had as a kid fifty years ago to the modern versions I'm still buying today. To be fair, my custom steel road frame had framesaver applied by the builder, but none of the others have.
This isn't just good fortune on my part. I volunteered for a couple of years at a bike charity that recycled donated bikes, rebuilding and reselling thise that could be saved and scrapping the rest. We saw plenty of badly neglected bikes, but we almost never got one that had failed from rust. And given that this is the UK - not famed for the aridity of its climate - that's quite an interesting data point.
I wouldn't discourage you from doing it. But whether you do it or not I'd bet on the frame outlasting you.