Depends on what you're going for. It's sort of like an antivirus for 'bad' IP addresses, it'll block the ones it knows about but if something new pops up you're unprotected until an updated blocklist is released. And the protection it provides is questionable, things like BitTorrent use a tracker that has a list of every IP in the swarm with stats so if the 'bad' people connect to the tracker and get the list of people from it, there's nothing you can do about it.
Personally, I run a Linux equivalent most of the time because there's no performance hit and it's better to have questionable protection than none at all. Thankfully though, since I run Linux I have virtually no need for warez'd software these days so the protection is moot most of the time.