Outside of character classes, it is conventional not to escape hyphens. If I saw an escaped hyphen outside of a character class, that would suggest to me that it was written by someone who was not very comfortable with regexes.
Inside character classes, I don't think one way is conventional over the other; in my experience, it usually seems to be to put either first or last, as in [-._:]
or [._:-]
, to avoid the backslash; but I've also often seen it escaped instead, as in [._\-:]
, and I wouldn't call that unconventional.