In my case, I never did and probably won't when I get back into playing on a somewhat regular basis. Generally speaking, sharp and focused = good, jittery with tremors = bad. Caffeine does have a positive impact in terms of mental clarity, but it's easy to go nuts with it. Obviously it depends on someone's individual caffeine tolerance.
As far as during games, this study is interesting:
http://www.ncbi.nlm.nih.gov/pubmed/21364122
In basic terms, consuming protein during a continuous endurance workout has no effect on protein synthesis, but it
does have an effect during intermittent workouts. This was specifically tested with weight training sets (30-60 seconds of work, followed by 1-2 minutes of rest), which is a lot closer to a hockey game than other sports.