Always in baseball, hardly ever in softball.
Seriously, when I chose the red pill and joined the softball umpiring ranks, I was told in clinics that play is assumed when everyone is set, and there's no need for us to actually signal and say play. The only time I do put the ball in play is when I give the hold sign as the batter gets situated in the box, and then she's ready. At that point, I give the pitcher a "bring it" signal.
Oh, I also signal and say play at the very start of the game.
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"Let's face it. Umpiring is not an easy or happy way to make a living. In the abuse they suffer, and the pay they get for it, you see an imbalance that can only be explained by their need to stay close to a game they can't resist." -- Bob Uecker
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