The primary advantage of using them is as a gasket to stop air infiltration...not as insulation. They do work. Some really cheap receptacles will let air through them rather than around them, so in that case, it doesn't help as much (replace those cheap receptacles!).
A modern house with a properly installed house wrap may not see any advantage. Lots of older ones will. On a cold, windy day, feel around them on the windy side of the house. You might get a good draft!