It's not quite that simple. If you are in a so called battleground state, it probably is the case. But if you are in a state that is a sure thing for either major candidate, say Massachusetts or Texas, then a vote for a 3rd party candidate is safely sending a message. That's all courtesy of the Electoral College.
While you are correct about it being "safe" to vote for a 3rd party candidate as a protes from the standpoint of who will be in the office of the President. Still, you overlook the damage that can be done if the media starts saying "Well, Bush won the electoral college again, but he has to deal with the Democrats and Kerry because Kerry won the popular vote."
As much as I hate to say it, it's probably better to get as many Democrats out of office first, then once the Deocrat party is in ruin, run Libertarians or Constitution Party candidates as the alternative to the Republicans. At this point, anything that weakens the Republicans strengthens the Democrats, and that's really bad for the country.