I play my own intros ~ 70% of the time, the exceptions being for those songs where I know the canned intro is appropriate for the song... and which I'll always play along with, because it will sound better plus I don't want to be a "DJ" for even 4 measures.
For endings, I usually use the "To End" function, which provides a one measure ending/finish after my own ending. To be honest, I don't know if other KBs other than the SD1 have this item (it's not present on the XD9) but it's a great feature, at least for me when playing live.
Glenn