No not always , against deidara he used it on his body but he failed and again he could took his arm ,so it's possible for him .Its like saying: "Kakashi dont use Kamui that way. He only use it when he is absolutely pinched, when he has no other option to save his life.
Sasori can easily shield himself with Iron Sand.
And Kakuzu + Sasori = intelligence + overwhelming force.
what the big deal with itachi and sasori? itachi is way strogner and faster than him .
sasori've deidara's speed according to last databook.