When she's in the park, I usually have her in a... ok, I don't remember the name. A typical nylon collar with a thing that you push to open it. This way, if something bad was to happen, we could easily open the collar.
My dogs, no, not really. Collars mess up their fur. However, they can wear White Pine collars and not suffer any damage to their ruffs (Keeva esp has a thick ruff). Blossom also sports a fur saver pretty often.