It depends on the nature and complexity of the regex. Breaking out every little element makes it harder to read for me. Personally, I can read just about any kind of regex you throw at me without comments (and for this I prefer no /x), but like any programming language, sometimes it helps to keep your thoughts in order for maintainability reasons by adding some comments.

One suggestion I would make to potential /x users is not to break things apart unnecessarily. Break the regex into logical chunks (repeating segments for example), but don't go into depth explaining what each little \d does. We already know what it does.