In theory, I can see how it would be useful. Being able to get back to a set point without having to traverse the dungeon.
In practice, however, I've never used it. For one thing, I never remember to set the warp points. For another, I always end up finding that it would be more useful if I could use it outside of dungeons, perhaps to return to Ice Cavern or something.
I'm glad that it's in the game, just in case I need it... but I never have needed it, and when I did, I've never anticipated it enough to set the warp point. If I get in real trouble, I usually find myself using the warp songs to go some place where I can heal safely.