By waiting until your fuel is all gone you could be shortening the life of your fuel filter!
Over time your fuel tank develops small particles of detritus (disintegrated or eroded matter). This is normal, and your fuel filter is there to ensure that this does not get into your vehicles engine.
This is why it is important to ensure that only a high quality fuel filter is fitted to your car and that you make sure the car is serviced on a regular basis.
To help protect your fuel filter between services, try to keep your tank at least a quarter full.