It somewhat depends upon the part of the country you live in. For the south (Texas), this is a energy saving idea taken to the extreme.
In an old house without insulation, the amount of air stopped by the caps is insignificant compaired to other sources of leakage such as doors & frames, windows & frames, wall plates, light fixtures, switches, attic access panels, dryer vents, etc. You might do better to work on more productive areas.
In newer homes with properly installed insulation, moisture barriers, and many other energy saving features, the amount of air getting to the outlets is vey small. In fact, in recent years, constructing houses too "tight" has been a concern. Commercial buildings are required to introduce outside air into the ventilation system in quantities varying from about 5% to 15% of the air volume. This requirement is not currently applied to residences which heretofore leaked enough to provide outside air.
Your best option is to have an energy audit performed on your home. You will get a list of deficiencies that you can evaluate and tackle the most productive. Many power companies offer free or inexpensive energy audits for their customers.
Aside from the energy aspect, one definite plus to installing caps is that they reduce the chances of a child inserting a metal object into the outlet.