When attacking a convoy, and depending on a.) the amount of torpedos I have and b.) the collection of high tonnage the convoy consists of, I will sometimes try and sink the escorts if there aren't too many (early years).
It's worth the risk if I can finish the escorts off and get myself a T2 and/or T3 and depending on weather finish all the heavy runners with my deck gun.
Oh ja, I'm playing with 50% realism - so it works at this level