It's worth it if you know what you are doing. When you have illegal goods do everything to avoid getting interdicted because it is a pain if it's Federal ships that interdict you and scan you. Just don't get scanned and you can make some decent money doing it. If it is something lame like Grain I usually avoid it but sometimes I find valuable items floating around like I think prototype tech is usually worth a decent amount.
My playstyle is to fly around on the edge of space in my Cobra and explore systems, scanning, and then picking up cargo. Sometimes it is difficult to find a black market though and you have to be ready, if you get into one of those big tetrahedral floating stations to line yourself up with the letterbox, close your landing gear and go as fast as you can out so you don't get scanned. Getting in is more difficult - hope that somebody isn't going to come in with a giant ship when you are doing it because that can screw everything up. When you are going balls out to get into the station, be ready to pop your landing gear and do everything you can to stop your ship, I banged my ship up pretty good crashing into the other side once.
I like using the Cobra because it has a pretty solid amount of cargo space and it can go pretty fast, so I can usually outrun trouble.
This game really isn't about what's efficient or making the most money IMHO. It's about having fun and I have fun smuggling stuff. I have fun exploring. If you have fun doing those things, do them. If you don't or you are scared of consequences, don't do it.