When I'm speaking in person, I'll often say "we", but it usually depends on context. I'll say "we play Colorado next", or "we really need a goal", but I'm more likely to use "they" when talking about something directly in the game, like "they're really flying tonight" or "they've really been strong on the puck".
When posting online, I very rarely use "we". In fact, I've edited posts to change "we" to "they" many times.
The only time it ever bugs me is if someone is a fan of a team other than the Flames who'll post a "we" about their team on CalgaryPuck. It also makes it confusing when someone posts something like "we really need a win in Edmonton tonight" when talking about the Jets.