Measuring gravity in between mash steps is a bit odd - perhaps interesting but not necessarily practically useful. Now, measuring it at the conclusion of your mash (after lautering, pre-boil) and after the boil - those are the classic gravity check milestones before fermentation.
One reason I wouldn't bother using a refractometer during the mash is because of stirring. It's a finicky device - it only uses a couple of drops, so you need to ensure that your liquid is thoroughly mixed in order to distribute sugars. That's going to be pretty difficult in a mash situation, and your readings might impress you at first but won't prove to be reliable.