First of all, there are no absolutes. Recording is an art form (albeit one with technical considerations), and there are no rules with art. Your only guidelines are "does this sound good" and "do I like it?". Aside from that, you're free to experiment.
Experimenting, however, does have its pitfalls. By placing anything in the signal chain which will alter or color the sound (ie. compressor, EQ) you are committing to that resulting sound and choosing to live with it. There will be no "unwinding" the processing later.
When recording anything live you do want to afford yourself some room for the unexpected, such as sudden peaks that might distort, in which case having a limiter in line is a smart move. Or, if you know that there is low end present that you definitely won't want later, a gentle high pass filter would probably be a good thing. But those are examples of corrective processing, rather than what I would call "artistic" processing, or using gear destructively during the recording phase of a project.
So, in conclusion, I believe you'll find as many approaches to recording as you will recording engineers. It all boils down to knowing what you're looking for in a sound and feeling confident about your choice to commit to it early.