Never even thought about it. Usually I just leave a trail of blood leading back to the house. My biggest problem is, that if I hurt myself badly enough, I start to faint, thinking about what I have done to myself!
The stuff in first aid kits is mostly useless I find. I like those rolls of really sticky fabric bandage that you can cut off the appropriate size bandage but they are getting harder if not impossible to find.
When I am on a jobsite, black electrical tape and paper towel usually do the trick.