Should I make my CustomException serializable?

I'm defining a custom exception class to signal to my handler for a specific action to be taken. I'm wondering if I should make my exception Serializable or not. I don't intend to use the exception as anything more than an exit from my current execution.

(and yes, I do need a custom exception class. I'm pretty sure about that)

The best practice is to make them serializable. This way they can be serialized across AppDomain, or even process, boundaries.