Most pilots in our company (at least the guys i flew with) do a visual/TCAS-check of the approach sector at lineup. I learned the callout "approach sector clear" (after check of the sector) during my training with Lufthansa and use it every day. There was even a procedure some time ago to check and identify the runway you are lining up, so some of the older chaps still call out "runway xxx identified" at lineup. Only one captain requests a call to tower "lining up" and "rolling".