I am innately disturbed by spiders, but not exactly afraid of them (at least not the ones around here). I think it's more so the fact they can be quite fast, and the thought of one of them crawling in an ear or losing track of one while it's near me can be unnerving. (I have actually had what I believe was an ant crawl in my ear. Was in there for days and I almost lost my mind, so had it been a creature less passive well... I dread to imagine).
Anyway, sorry, I got a bit off topic there, but yes I do the same as you, every time. Regardless of how odd, freaky or disturbing a creature is, I could never bring myself to kill it. The termination of an existence unnecessarily is.... Well, it's absolutely heartbreaking to me. So generally even if the spider in question isn't bothering me I'll try to capture it to put it outside, just because I'm aware the other people here would have no qualms about killing it.