As always "it depends".

When I write short do-one-task-once scripts I don't bother with tainting.

When I write CGI scripts I'm paranoid and enable taint checking, and it's not much of a hassle since my applications typically only talk to the database.

If I have to call external programs from CGI scripts my paranoia is even bigger, and I verify all parameter from the outside anyway (with regexes and white listing hashes), so it doesn't cause me any trouble.

In fact two years ago I enabled taint checking for a collection of CGI scripts, and needed only one minor modification.

So my answer is "yes, where appropriate".