As others have pointed out, it is free, and as the previous poster pointed out, it can take time. Some enjoy that time spent (like a hobby) and others do not. You should join for the airline you fly the most, and decide after a while if it is worth your time keeping track.

Should you join a program to get miles for every airline/flight that you fly? I used to do that. But I no longer bother with the Southwest flight that I take every few years. Again, you will have to decide for yourself after you try.