To me, pursuit isn´t that much fun, so I rarely do it (I suppose this is meant to be the situation when you can quit the battle the instant all enemy units on the field are fleeing), except against a reinforcement from an enemy city. Killing garrisons is always desirable.
If single units during a battle rout, or even the major part, then of course I pursuit, there´s no use having my men idling around - after all, I pay them and don´t do it for the kicks of it, so they can work for their money - and every kill could help later on.