I have from time to time. My wife too.
We both carry XD .40's. Her is a sub compact and mine is the service model. But both of us will from time to time go for a smaller gun, usually a 9mm or a .38 if deeper concealment is called for.
I am a firm believer in shot placement, not the size of a bullet. I have heard it said, and I completely agree, you can't miss fast enough with a .45 to make up for a single hit with a .22lr.
It's all about where the bullet hits, less so about the size of the round itself.