If I've got a chance at achieving elite status, sure -- but I won't go out of my way for an extra 200 or 300 miles, it's just not worth it.
Most airlines have a minimum 500-mile segment that makes it worth your while to take short connecting flights. For example, I live in
AUS and fly to
DCA often.
AUS to
DFW will give me 500 miles, and
DFW-
DCA will give me 1192 for a total of 1692. Flying a longer routing through
ORD will give me 973 for
AUS-
ORD, and 612 for
ORD-
DCA, for a total of 1585. Of course, this could differ depending on the city pair, but I try not to worry about it too much.