Do you do it? It depends for me but I generally like to. Makes em more personal. Or if not I at least make em lowercase ("Charizard" instead of "CHARIZARD", for example).
Any nicknames that you've been particularly proud of? I liked my Bampharos :D
Edit: Some clever folks here, thanks for the lolz!
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I can never think of a name on the spot, so I don't nickname them