I have the same policy towards rattlesnakes and scorpions. If I encounter them outside, I give them a wide berth, but do not kill them (in the case of the snakes, I will kill them if they are in our yard, but only after I have attempted a live capture and removal). The desert is their environment, their home.
In my home, however, I won't hesitate to kill them (though I again attempt live capture first).