The point is that your altimeter will overread, leading you to be lower than you think you are. If you correct all the altitudes in your FMC, but then go to lower altitudes by intervening with the MCP ... let's hope there's no terrain.
If you are being radar vectored, the altitudes ATC gives you should already be temperature corrected so no need to apply any more. If you're in doubt just ask them. Any other altitudes on approach or missed approach should be corrected, but for altitudes that could affect ATC, such as MA altitude, make sure you tell them what you are doing.