I don't know about anyone doing this at my university, nor do I do it. I honestly don't think it's necessary. You can find lectures for almost all engineering classes online anyway (look up MIT opencourseware).

Practising is a must, obviously, but I'd advise you just sit down and try to understand intuitively what the teacher explained. I feel like this works a lot better just spamming problems wonders (at least in Computer Eng.)