It's important to note <huge can of worms> that paraffin stoves typically don't have an on/off valve and might not be suitable to lug around in a rucksack. </can of worms>
I have several old brassies, including paraffin lanterns, and have never considered bringing them camping because I'd need to transport them empty and fill them onsite. I'd then need to empty them before coming home. It's important to note that this decision was made intellectually, not from any experience, but my sense is that they would leak.
I do have a couple of collapsable stoves, like my Optimus 96. It requires some assembly, and would permit it to be transported with fuel in it, but it leaks more easily than more modern stoves, and certainly easier than a petrol stove, like my Svea 123 or Optimus 8R. You might also want to consider that a measure of paraffin (a litre, for example) burns for less time than petrol, but only you can decide if carrying the extra fuel is an undo burden.
Look: don't get me wrong; I love brassies. They're a ton of fun, are reliable, and have seen action all over the world for close to a hundred years. But are they worth the trouble to actually use in the woods? For me, the answer is no. I prefer the petrol brassies.
This is really all just my humble opinion. I'm a member on spritburner.com, as are other members here. Those guys take their paraffin stoves everywhere. I encourage you to investigate the topic more fully. Brass stoves are as peculiar as they are fun. The almost always require a bit of fettling before they become utterly reliable, so be prepared for that little project. They are also very addictive.
5 - Lit by British Red, on Flickr
6 - WD Stamp by British Red, on Flickr
