I always do and I don't like it. I also always wrap up the lower suspension arm in a plastic bag so oil doesn't get all over it from the filter. I really don't enjoy changing the oil on this car.
Now that this has come up I have a follow on question: regardless if you take the wheel off,once the drain plug and filter are out, I always lower the car to ride height to make sure the oil drains. Is this what everyone else does?