I think you should if you aren't using your personal first or last name (ie Mark, Jeff, Mike, Davis, etc.).
People come to associate you as a person and you establish a reputation under that name, so it is good to own the domain name as part of your online brand/identity.
I originally posted under another name because I was in negotiations for a domain. That fell through so I had a screen name for someone else's domain. I talked to the mod's and re-created my account under this name (had them delete old one), and I'm glad I did.
I suppose it is personal preference, but I like having a separate online identity from my offline identity, that is why I use this name on Domain-related boards, etc.