Do it when you have to for a valid reason, otherwise operate at a safe and sensible height.
Yes, this was my approach while I was transitioning from fixed to rotorwing. From a long history of fixed wing flying, and usually flying so as to "have a place to go if...." higher was better. While I liked that little bit of extra space/room/altitude, my instructors kept telling me to go lower, get in closer. I felt a balance of risk v benefit for training. Sure, if you have to get someone off a mountain side, get in close, and I guess you have to train for that - I did. But, and as I explained to my instructors, I would have a hard time justifying not leaving myself a decent "out" for simple training.
On the other hand, and I have discussed it with certification authorities more than once, the phrase "land immediately" in the context of an emergency procedure is a little mis guiding. When you tell a pilot to "land" an aircraft, pilots tend to first look for a place where they could put the machine down, and hopefully be able to reuse it the next day. There have been cases where that delay in simply crashing it straight ahead was fatal. I think of the Cougar Helicopters S-92 off Newfoundland. Warnings were indicating that a "land immediately" was the appropriate action. Yet the pilots remained hundreds of feet up - maybe trying to make it to a better place. They should have been down on the deck ASAP - splash here under control, or splash up ahead not in control? Easy decision.
Many of my autorotations, particularity when flight testing something, have been from thousands of feet up, and been pleasing. You get into a very stable regime of gliding flight, and can actually take a few moments to feel what the helicopter is doing, and assess things. Aside from training, I've never needed to enter a low altitude autorotation, other than from the hover, but can appreciate an auto in which "it just all happens".
I do recall a pleasing flight I was given in a two place autogyro. I did notice that the primary instrument was the rotor bearing temperature!