i do! its SO important to use a thermal protectant because of all the damage you do to your hair when using a straightener- what i use is Kenra Thermal Styling Spray- bonus- it doesn't leave a residue build-up on your irons!
I use Aveda's Damage Control. I use a straightener pretty regularly and I don't have damaged hair, so I guess it works. I also use it if I might be in the sun to protect my color and generally keep my hair from getting fried - I know it's weird but it seems to be working so I'll stick with it.
I use Beyond the Zone's Turn up the Heat spray almost everytime I flat iron. It makes a huge difference - I'm plauged with split ends and dryness and this stuff makes my hair look super silky and shiny. I bought it at Sally Beauty Supply for about $6, and one bottle has lasted me over 5 months. I highly recommend it!