Yes, all the time. It's a crucial part of the whole thing, as far as I know. (Not an expert, barely do it, have been meaning to get back into some kind of habit)
Before this, I thought of meditation as the whole "still mind" thing, but if it's how anyone works, it sure isn't me. Mindfulness is more about realizing when a new thought "arises", looking at it sort of dispassionately, and gently refocusing yourself. There's no real "failure state", you will get distracted and that is fine, just get back into it.