It depends partly on how accurate your digital camera's white balance algorithms are. With my Olympus C-2000Z, I leave it on Auto WB all the time when outdoors since this produces consistently good results. However, the Auto setting does not work so well indoors (when not using flash), so I generally try to set the WB mode manually in such situations.
In other words, Auto WB should work most of the time, but you have to try out your camera under different lighting conditions to discover when it might be better to override the auto settings. The reviews at dpreview.com usually also provide sample pictures depicting the effectiveness of each camera's white balance settings, so that might be a good gauge.
On the other hand, if your camera has fully manual WB settings (mine doesn't), then you probably can't go wrong with that. The only drawback is that it can be rather cumbersome to use a white card if you don't have a convenient white reference point in your scene.
When all else fails, the vast majority of colour balance problems can be fixed in software post-processing, so I wouldn't worry too much about this issue. Be thankful that you don't have to bother with the hassle of keeping different types of film for different lighting conditions.
