Generally I like the gage for two reasons:
1) It is probably tighter than your chamber; if your loaded round will go in the gage it will go in any chamber I've seen, assuming it isn't loaded too long.
2) It gives a much better visual reference for whether the case is really seated or not. My eyes aren't sharp enough to tell based on how far out of the chamber a casehead is protruding.
Check out the last part of this thread for a variety of things to think about:
http://www.thehighroad.org/showthread.php?t=494542&page=2&highlight=.40
I never updated that thread, but eventually I figured out that the issue was the LE Wilson gage itself; it measures less than .400 forward of the step where the case "headspaces"; i.e. the bullet itself was making contact and stopping the loaded round from dropping all the way in. I figured this out by trying to drop a bullet through the gage and it would not go through. Therefore I only use that gage to judge empty sized cases, and I think it works fine for that. Whether this is common, or is supposed to be dimensioned this way or not, I don't really know. My 9mm one is not.
So what I do for .40 now, which I still don't load that much but, here it is:
1) Size the case, check it in the gage
2) If it goes in the gage, load it and shoot.
3) If it doesn't, base size it with the GRx die and check it again next time.
