Sketching doesn't give you a realistic sense of space and feel for web design. Very often you can sketch something that looks good on paper, but once you put it on the screen it just doesn't translate well to a pixel medium.
Sketching is great if you are working with a physical medium like brochures or posters though. Then it doesn't suffer from the same translation cost.
For all 37s likes to talk about not using Photoshop they don't have pixel-perfect design at all and yet still had somebody slaving over Adobe products while putting those logos together.
Mocking things up in Photoshop can be really productive because everything you sketch (all of your background images, buttons, and art) can be used as an asset on your site with minimal effort.