Yes you should do it. I used this PVC/vinyl stuff that comes in rolls - can't remember the name but it's 50mm wide with little wings either side. Wasn't that expensive and definately worth doing (although my deck frame is steel not timber).
When you think about how much the materials have cost and how much time you spend building a deck, it's not really that big a cost.
"I don't practice what I preach because I'm not the kind of person I'm preaching to."