Should you learn sweeping? Absolutely. If you are interested in learning to play the guitar proficiently you should try to master all techniques. If you are happy playing the way you do and are not that interested in exploring new avenues then don't bother.

As for advice on sweep picking, pick an arpeggio then work out the same notes in different positions. You will find that you can play the same arpeggio about 4 different ways in the same key. You will quickly discover which way suits you presonally - stick with that shape and keep practicing untill you get it. It takes time, took me about a year of solid playing to get a double octave arp licked and I was already playing for a good few years before that.

The sweep picking I use in the track in my sig file http://mp3unsigned.com/Showband.asp?id=4890 involves a number of different approaches/shapes, depending on the hand position from the previous group of notes. I particularly like stringing big arpeggio sections together during a lead part as it adds the bit of flair that floats my boat;-)