No, Markus - I collect these soft plastic toy figures simply for their own beauty and interest. I've put a printed pictorial background into these just to show them off in a more attractive setting - I have no plans to expand into dioramas except for perhaps adding a model tree or cactus plant here and there.
I have in the past built small dioramas when model-making with plastic kits, and I do have a friend who likes to amass his toy soldiers into very large dioramas with sculpted landscape and wooden buildings he makes himself. He constructed a huge diorama one time showing the battle for Rorkes Drift, in the Zulu wars. That's how he likes to display his toy soldiers but I have to say that it holds no interest for me
Here is an example of one of my military modelling dioramas - but it doesn't actually belong in this thread because these aren't toy soldiers