I just took a look at modernizr. Their list of "shims" is awesome!
I'm currently using PIE for the same reasons you are. It works very well for features that it supports. There is one thing to watch out for. On my site I'm primarily using PIE for rounded corners and gradient backgrounds. Probably 60% of content is generated via templates. So containers holding the generated html can vary greatly in size as dynamic content is being created. PIE doesn't seem to render this situation reliably on IE8 (haven't tested with IE6/7). It works correctly 50 to 90% of time, but I cannot get to 100%. For the pages with static html content, PIE works excellently.
If you are going to add CSS3 behaviors to older IE browsers, you really do not have any choice but to use shims like PIE. Whether it is good practice or not really doesn't apply. The question really is, "can I do it?"
So for a "normal" web page, I'd go with PIE.
The PIE's generated corners look really great. Exactly same as in FF/Chrome/IE9