I, too, have met many pilots who have been taught to prefix every transmission, following the initial call, with Pan or Mayday as appropriate. There is no requirement to do this in any UK, JAR or ICAO doc that I have read. As MJ says, it has some benefits - for example, stops you forgetting to repeat the word when you change to a new freq - but its a bit clumsy and unnecessary, so I don't teach it myself.