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Yes they do. Not only captains but a lot of Shinigami use Jinzen. If you look in either the manga chapter or the episode where Yammy, Wonderweiss, Luppi, and Grimmjow invade Karakura, you will see before they appeared Ikkaku and Captain Hitsugaya were using some form of Jinzen.

also rangiku and yumichika were doing it, however ichigo is pulling his zanpakto out while they went in the zanpakto world