i say in a game where there are league umpires present, leave the decision to them, however if you have a game where fellow teammates or members of your club are umpiring, i say walk, its unfair putting pressure on them when half the time they wanna be in the clubhouse with their feet up instead of standing in the middle....
however, if you admit to nicking a ball after you've been given not out to the umpire who made the decision, it can easily back fire in a later game. this happened to a mate of mine who said to the umpire after the game that he nicked one, the umpire then officiated at a later game and when the batsman had a huge inside edge onto his pad, and there was a half an appeal from mid-off, the umpire did not hesitate to raise the finger!