No I always use sudo. As far as I am aware, gksudo brings up a GUI for the password. But sudo merely requires you enter the password in the terminal.
Also, sudo caja brings up the following:
Whereas gksudo caja brings up the following:
I find the first of the above more useful since it opens up directly into my home folder, which is where I usually want to be to copy a file or folders from my home folder to elsewhere on the system
Have I got that wrong?