It is only worth it if you have the time in your schedule to do it. One of the best operations I have seen is making two robots and upon completing the fabrication of parts, send one set out for anodizing/powder coating while you assemble the other set. Unless you are 254/968/233/1114 that is!
Be cautious of whether or not it is something you can do easily without sacrificing your performance. Seeing beautifully painted robots on the field that can't do squat because they either don't work or weren't finished is very sad at the cost of a paint job.