Is it worth it?
Depends what you're planing on doing with it. By dessert, do you mean dessert (the sweets after a meal) or desert (the place with an arid climate and little moisture)?
As long as it's not explosive and you don't piss people off with it, I wouldn't expect to get into too much trouble. If you make something that smokes out your neighbor's house, obstructs drivers' vision, or causes people to complain about smoke/damage, yeah, it's probably going to get you in trouble.
Personally, I've never seen the appeal of smoke bombs, so unless it's going hand in hand with guerrilla warfare, I'm gonna say no, it's not worth it.