It is absolutely worth it. Taste itself (in the mouth) only comprises of four main components: sweet, salty, sour, bitter. This means that every other flavor you perceive actually comes from your sense of smell. Retro-haling allows you to discover all of the subtle nuances of the cigar by passing the smoke directly through those "sensors".
In learning how to retro-hale, start with mild cigars. Only retro-hale once or twice every third to get yourself used to the process without irritating your sinuses too much. Then, as you become more comfortable, you can start working the retro-hale into stronger cigars and more frequently.
At the end of the day, it comes down to personal preference. I retro-hale every puff, I know people who do it a couple of times throughout a cigar, and I know people who are just as happy not doing at all.