I do try to wash everything. It sort of 'levels the playing field" for the fabrics that go into a quilt, and then you don't have to wonder how the fabrics will react together, or shrink differently. I've heard people say they SHOULD have washed the fabrics first, because something had happened when the quilt was washed, but I've never heard anyone say they wished they hadn't washed the fabric first!
After I wash it, I don't iron it right away, so I can tell which had been washed and which hasn't. And I use Mary Ellen's Best Press, too. Takes the wrinkles right out!