It is definitely definitely worth it. You want your kids to be able to come to you whenever they need something, right? Well, that starts now.
I'm writing this from the nursery floor as my boy has just self settled for the second time in two days. As someone once said to me, 'take the time it takes'. It's taken us six weeks more or less, just trying one nap a day and picking him up if he's upset, but this lays the foundation for all the other times he will need to try that bit harder to settle.
I think of sleep training as giving your baby the confidence to go to sleep by himself. He already knows how to go to sleep, he did that in the womb! If you meet his needs now and help him, he will need you a lot less in the long run.