While that sounds nice in theory but for most people it doesn't make any different. For example say you get back $2,000 from your tax return. If you intend on saving you could keep in your weekly check that money and put it in an interest barring account and come out ahead. but when your saving account is paying 0.1% interest you are making less then $2 by doing so. $2 a year for most people isn't even worth time time to figure out the proper withholding. And don't tell me about the stock market or similar where i am putting my money at risk. so until interest rates go to a sane level its just not worth it.
Unless of course you're one of the unwashed masses that has an abundance of credit card debt. Using that extra money to pay off your debts more quickly can give you a great return, at least in the sense that you'd LOSE less money.