Yes, my therapist has me fill out two quick forms each time I come in, one related to my depression and one related to my anxiety. Things like ranking from 1-5 "I feel hopeless" or "I worry a lot" etc. That way she can add up the scores and kind of quantify how I'm doing week to week.
We just started doing it, though, and we're not sure it's working. Yesterday when I filled out the papers it indicated I was doing (slightly) better than last week, but I told her I felt worse. But we'll see how they shake out over time. I don't mind doing them.