I do indeed. I might use Dreamweaver from time to time, but as soon as I have enough structure to start worrying about debugging I will move it to the live environment.
Well, not that I have ever created a website. I run tests to learn things, occasionally I host files there when I am feeling lazy. Good hosting doesn't have to be expensive; I only pay $30 a year, and that includes domain registration. I can find $30 a year in the gutter.
As Redcoder mentioned, if you're worried about it being live that people will see it, no need. As well as being many easy ways to protect against that, it is also rather redundant on new site. You will find how challenging getting people to come to your site really is later on.