How annoying or useful are warning or alert messages for the users?

I'm developing a flow for a web app where the user creates some content to post on the Internet. If the user decides not to finish the process, should the app warn or alert the user, that the content will be lost? How annoying or useful is this warning for the user? If the user is a regular one, will be she/he sick of this after a period?

Thanks and best regards.