Yes they do. If I am not mistaken most anti-venom's are made this way.
"Antivenom (or antivenin or antivenene) is a biological product used in the treatment of venemous bites or stings. Antivenom is created by milking venom from the desired snake, spider or insect. The venom is then diluted and injected into a horse, sheep or goat. The subject animal will undergo an immune response to the venom, producing antibodies against the venom's active molecule which can then be harvested from the animal's blood and used to treat envenomation." *cited WHO 1997
I think horses are the most commonly used because of the volume of blood in their bodies. If I remember correctly their is also less instance of allergic reaction, rejection, and immune reactions using equine bloods.
ETA: This information can be found on Wiki and on the WHO web site.
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