For the really small diameter lead components you can make some assumptions, but beyond that you should do some measuring.
1/4W resistors, TO-92 transistors, most small capacitors, etc. can be .028, (but .035 is not a problem).
Until they get really big, electrolytics are OK with .035
IC sockets are OK in .028 until you get the occasional hole that gets "filled up" a little during manufacturing, and then you might wish you had used .035.
.1 inch headers are .040 in general, 1N400x diodes need .046
(This is all off the top of my head, see if you can get some other people to comments.)
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