Natures are an important factor in the competitive Pokes I raise. In-game? Not that much.
That's pretty much my philosophy too. For in-game teams, I'll just use whatever I catch first. My methods for preparing competitive teams are sufficiently different from that, that the "guilt" of releasing Pokemon doesn't really enter into it, because catching a particular Pokemon is just an extension of examining that specimen more closely for desirable traits--because of breeding, I know that a Pokemon I catch will rarely-if-ever become the actual Pokemon that goes onto my team.