Yes, or the night before your morning shave if you're going to be in a hurry. Makes a noticeable difference to me in the sharpness and smoothness of the shave, no doubt.

To pbsd, start with the nylon, about 20-25 strokes, then move on to the leather, about 25-40 strokes or more, depending on the type of leather, the blade, the feel, and what you like. The nylon will remove any seen or unseen gunk from the previous shave, and get the blade ready for the leather, and the leather will do it's magic in getting the edge keen and smooth.