But and So

At school, we learned that we shouldn't start a sentence with conjunctions like "but," "so," or "and," but nowadays, many people use them at the beginning of sentences, and I've seen that native English speakers don't correct it either.  In fact, I often see native English speakers starting sentences with "but" when they comment.  In Japanese, sentences start with these conjunctions, followed by a comma, but native English speakers don't use a comma.  I try not to use these conjunctions at the beginning of senteces, but when I use "but" or "so," I'm not sure which is more natural, with or without a comma.  Whenever I see Japanese people using "so" and "but" with a comma, it always makes me wonder about this.