"Is it worth it?" This depends on how paranoid you are.
Assuming your router and modem are constantly online then your internet connection is available for anybody with a wireless equiped pc to use.
If your in a detatched house set in its own grounds this may be unlikely!
If not then anyone else within range could put it to all sorts of use which may reflect badly on you. For example if your isp limits your monthly usage they may be unhappy if the lad next door uploads and downloads vast collections of music files on a P2P network. There`s also the unpleasant possibility that an unknown user could be sending and receiving decidely illegal material, as the account holder you may end up with some difficult explaining to do.
Having probably worried the living daylights out of you I should say that in my opinion the risks of either of the above occurring should be judged in a rational manner. If you live in an area where there are lots of businesses or maybe computer students from a local university all carrying laptops then you may be at greater risk than someone in the above mentioned detatched house (I`m not having a dig at students here it`s just that they often have the knowledge and equipment to "borrow" an open internet connection).
I would suggest using encryption, it`s not one hundred percent secure, but it will deter most people.
As you discovered, it takes a little effort to set-up. The code you set in the router must be sent by any pc that wants to connect. If your computers are using windows XP`s built in connection manager then you should be able to do this by right clicking the wireless connector icon, selecting view available networks. Your router should appear as an encrypted network and the passcode will be requested when you click connect.
If you are using earlier versions of Windows, or the wireless adapters own software to manage the connection then a different procedure may be required.