Yes, I allow them to re-seed and then transplant to containers or in beds. I find volunteer seedlings all over the place, therefore I get mixed colors like the second one above. Probably the term some would use for this method is "naturalizing". But there are times when I see a pastel color that I don't have: Then I buy a new packet of seeds. I'm sure the "pros" would frown on my method and madness.
I do the same with petunias like the ones below: These are volunteer seedlings.