It's well worth the effort. Some of the lighter oils, the ones with the most complex flavors, steam off of the coffee bean as it cools. I know it breaks all the rules of coffee roasting -- that is, you're supposed to let the bean cool before brewing -- but I take the hot beans straight from the roaster and put them into the mill, and from there, as quickly as I can, I dump them into a French press where I pour boiling hot water over the grind while it still smokes from being roasted. There's a hiss and a mild eruption of tan-colored foam as the water hits the hot coffee, but I tell you, my fellow freepers, there nothing even close to the cup of coffee you'll get. It'll spoil you: the best coffee you can buy will taste like muddy water after you've had a cup made this way.
I've done side-by-side tests with my green beans and roaster, and there was a definite improvement with the coffee made using the day-after beans compared to those just roasted, so I always let mine rest overnight unless I'm just plumb out of beans and desperate.
But I usually make a coffee-cup full of espresso with a pretty high-pressure Rancilio machine, so maybe the resting period just works best for my technique.
I'm going to have to try that. After I figure out the process of getting the inside of the bean to be the same color as the outside, of course!