I don't when I solder. But I do use lead removal soap and/or wear gloves. Washing my hands after soldering doesn't take much time and I figure it's better safe than sorry.

The issue with shooting is rarely bullets, like people think, it's the primers. Most primers contain heavy metals that get blasted out into the air, which means you end up with a nice microscopic coating of the stuff on your skin and clothes. Touching lead probably isn't an amazing idea but won't do much unless you're, like, chewing on it. But microscopic particles are a different story.