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! :D
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.