For me, it was certainly worth it. I live in a small town, and had no access to double pointed needles, other than ordering them, or driving a couple of hours to the nearest yarn shop. I was anxious to start a project using dpn's, and having no patience to wait for them, I followed Amy's video here on making your own needles (scroll down to last video on the page), and made my own!
It was quite simple, and took very little time. The most time-consuming part was finding the right size dowel rods. As feministamama said, they're not always easy to find. I went to two different local hardware stores to get the various sizes of dowels I needed, but I've never had to buy dpn's! I also use them for straights by putting a rubber stopper on one end. The sanding part is a little time-consuming, and you might find once you start using them that you have to go back and sand a bit more, but it's not difficult.