Well that really depends on 2 things. The first being is whether are not you are CSL. If you are CSL, then i think you would be well on your way to getting your visa by the time youve gone through the state application. However, in my case I was non-MODL and was looking at a wait until 2012 (priority 7). By applying for state sponsorship, I move up to priority 5 which should be a little quicker.
The second consideration is whether or not the state you are applying to is one that you were planning on living in anyway. If you were going to move to Melbourne and Victoria ara willing to sponsor then it might make sense.