I don't. I do buy from trusted sources, and I also swish them through an intermediate bath of tank water, then discard that water. This is because they don't get the parasites we worry about, but they come in water that might have them (really not likely, because distributors don't put inverts in the same tank as fish) Stores may, however. So a swish through a bath is going to change out their water, hose them down, and send them into your tank with far less chance they're carrying anything.
Problem with qt'ing them? You can't tell if there's parasites in the qt water at the end of 4 weeks because THESE critters don't host them and don't show symptoms. So you're just waiting four weeks, which is too little to let the parasite starve out if present. I just cross my fingers and give them a bath.