NO YOU DON'T!!! (hold return that is).
I'm ALWAYS doing screen captures and it's so FxxxING annoying! I do NOT hold any back button or anything. It seems like when I send a quick reply using Handcent then try to put the phone to sleep it will click and take a screen capture.
The other day I was in the library where it's all quiet and of course there's 100 hot girls around. I send a txt message and press the button to put the phone back to sleep and "CLICK" goes the camera sound. I'm sure someone thought I was taking a picture of them (creep).
It's so damn frustrating!! I've given up on deleting them all the time... I just let them accumulate and then delete the folder every now and then.