Is it best to keep your home cooling system on Fan all the time or on Auto?

I have had my fan running constantly for over 20 years. The installer suggested leaving it on all the time. This keeps a more constant temperature throughout the home and also circulates the air for better filtration. If you put the fan switch in the auto position the air at the thermostat takes longer to warm up and turn the system on to cool the home (making it warmer in rooms or areas that are exposed to the sun). The same goes for heating in the winter. The home cools from the outside toward the center and will get cooler around Windows first.