Well, sometimes.
The problem, is that this gimmicky set has been used for a few generations now, and so is quite predictable. It also loses quite often to other leads, including Excadrill, Heatran and Greninja. In addition to this, defog and Magic Bounce have become more commonplace, thus the meta hasn't been kind to it.
A good anti-lead is Excadrill itself, which can set up rocks even on magic bounce users due to mold breaker, and survive 2 hits with its sash. Then if the opponent manages to get any hazards up, he can spin them away even if taunted. The two efficient spinblockers, Mimikyu and Sableye also die quickly to it. And he can proceed to toxic any foes before dying.
Excadrill @ Focus Sash
Ability: Mold Breaker
EVs: 4 HP / 252 Atk / 252 Spe
Jolly Nature
- Stealth Rock
- Earthquake
- Rapid Spin
- Toxic
This is by far the most used set, though players keep making variations either to suit their team's needs or make the opponent predict wrong.
Edit:
I've just realised Azelf can learn Skill Swap. This actually makes it a good lead due to it outspeeding most taunt and Magic Bounce users.
Azelf @ Focus Sash
Ability: Levitate
EVs: 4 HP / 252 Atk / 252 Spe
Jolly Nature
- Stealth Rock
- Taunt
- Skill Swap
- Explosion
Taunt the opposing lead if you predict a taunt, set up or hazard. Skill swap if you see a Magic Bounce user. Mind you, the set still loses to Sableye due to prankster and taunt prior to mega-evolving.