I have done it before. In fact my XLT is sitting right now with the suspension in and the shocks out. However, it is a pain in the rump. The only reason I did it is because I have very limited room in my shop right now and I had just replaced hyfax and bearings.
If you have any other reason to remove the suspension (grease shafts, replace bearings, replace hyfax, etc.) do it that way.