Basically I'd only recommend it if for some reason you can not use WPA encryption or at least some other strong encryption (if WEP is only choice then yes I'd do MAC filtering and hide SID along with WEP, most newbie hackers will just move on then to the next *****).
It's really just to stop honest people from accidentally connecting to you. Same with hiding the SID. Neither stops the bad guy!
Worth my time setting up when using encryption? No! No one can accidentally connect to you when you enable encryption.
Bottom line is that if you use encryption it's not worth it!
But if encryption is not an option and I'd say do everything you can to make it harder for the bad guys and then most will just skip you move on to the next easier target. Unless you got something to hide (in that case you should NOT be using consumer products!

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