Yes. But I don't insert myself into my characters. For some of them, it wouldn't make any sense. For OW, or semi OW games, I have a "know your world" philosophy. This means I'm poking my nose into every corner of a map, to see what's there. This applies to character building as well. I look for synergies within the class/classes of either my possible class choices, or party composition, or both, and build accordingly. But the best character I ever built had a novella for a backstory, that I actually started writing in game, while in a session with another player in a NWN module. It fully explained the class choices and alignment of the character, how it got there, and why. These are things that go on in the back of my mind once I get invested into a character, and for me, it isn't something I "switch on or off", it just is.
