I think it depends on the context, but it is a good idea to escape backslashes if using it in file paths.
Another good idea is to assign the directory separator to a constant, which I've seen done in various applications before, and use it as thus:
<?php
define('DIRECTORY_SEPARATOR', '\\');
echo 'Application'.DIRECTORY_SEPARATOR . 'Models' . DIRECTORY_SEPARATOR . 'User';
?>
If you wish to save space and typing, others use DS
for the constant name.
<?php
define('DS', '\\');
echo 'Application'.DS.'Models'.DS.'User';
?>
This keeps your application portable if you move from a Windows environment to a *nix environment, as you can simple change the directory separator constant to a forward slash.