Basically, there are two sides to implementing SPF and DKIM:
- Outgoing mail: yes, it's probably a good idea to set up SPF and DKIM on your outgoing mail-servers and DNS. You'll less likely end up in the "junk" folder of Hotmail or GMail. Setting up SPF and DKIM is actually not as hard as some people seem to think. There are enough free services on the Internet that will check if your config is correct. While you are at it, make sure your mailserver is configured to use the STARTTLS SMTP command. Most spammers don't use TLS over SMTP, so it's a little extra that can give you an advantage in anti-spam filters.
- Incoming mail: this is where most of the problems arise. There are a lot of mail servers out there that don't implement it, or don't implement correctly. For my personal mail setup (which runs on PostFix), I decided to implement them as they should be (SPF softfail/hardfail according to sender DNS records etc...). If you run a business, this might result in loss of business mail, so might want to ignore SPF and DKIM
TL;DR: Configure it for your outgoing email, ignore it for incoming mail. ("Be Strict with Yourself and Lenient Towards Others" - Fan Chunren )