OK, I admit it...I sleep on the shams sometimes. Ohhhh, the shame!

But really, in the grand scheme of things, what does it matter? In my case, no one ever sees my room except for my family and occasionally my friends, so I only really keep the shams nice and neat if guests are coming over and they're going to sleep in my room. Besides, the pillows with the shams on them are the fluffiest ones, and I like them better.
Now KillarneyRose, I know that one of these days I will be in your position and I'm sure I'll be singing a different tune.