Never. There have been a couple of occassions I have wanted to pop in to our local supermarket when I have had Ruby with me, so I just pick her up (OK, she's quite heavy at 11.65 kilos, so it's only popping in for something small) and carry her round, even though she's fully grown. I took her out a lot in my arms pre-jabs, and also post-jabs when we'd walked a while and she got tired, so she sits perfectly still when being carried as I think she enjoys it.
I figure she's not on the ground so it's not like she's going to try and eat the food/put her nose on anything/wee/poo/jump up at people or whatever reason they ban dogs for in the supermarket in the first place. Of all the times I've been in, I got stopped by security only once, and that as because they wanted to stroke her!