There are several reasons that I think it is a bad idea, one of which is that for most options quotes must be in increments of $0.05 (if the premium is less than $3.00) or $0.10 (if the premium is greater than $3.00) which effectively creates a large vigorish. That particular problem can be mitigated by limiting your trading to the subset of options that trade in penny increments. Here is a list of stocks with options trading in penny increments:

A – Agilent Technologies, Inc.
AMD – Advanced Micro Devices, Inc.
CAT – Caterpillar, Inc.
FLEX – Flextronics International Ltd.
GE – General Electric Co.
INTC – Intel Corp.
JAVA – Sun Microsystems, Inc.
MSFT – Microsoft Corp.
QQQQ – Nasdaq-100® Trust Shares
SMH – Semiconductors HOLDRs
TXN – Texas Instruments, Inc.
WFMI – Whole Foods Market, Inc.
WM – iShares Russell 2000® Index
AAPL – Apple, Inc.
AMGN – Amgen, Inc.
AMZN – Amazon.com, Inc.
BMY – Bristol-Myers Squibb Co.
C – Citigroup, Inc.
COP – ConocoPhillips
CSCO – Cisco Systems
DIA – Diamonds Trust
DJX – Dow Jones Industrial Average index
DNDN – Dendreon Corp.
FCX – Freeport-McMoRan Copper & Gold, Inc.
GM – General Motors
MO – Altria Group, Inc.
MOT – Motorola, Inc.
NYX – NYSE Euronext
OIH – Oil Services HLDRS
QCOM – Qualcomm, Inc.
RIMM – Research in Motion Ltd.
SPY – SPDR S&P 500
T – AT&T, Inc.
XLE – Energy Select Sector SPDR
XLF – Financial Select Sector SPDR
YHOO – Yahoo!. Inc.
XSP – Mini SPX index
AA – Alcoa, Inc.
AIG – American International Group, Inc.
BAC – Bank of America Corporation BAC
BSC – The Bear Stearns Companies, Inc.
CFC – Countrywide Financial Corporation
DELL – Dell, Inc.
EBAY – eBay, Inc.
EEM – iShares MSCI Emerging Mkts. Index Fund
EMC – EMC Corporation
F – Ford Motor Company
GS – Goldman Sachs Group, Inc.
HAL – Halliburton Company
HD – The Home Depot, Inc.
JPM – JPMorgan Chase & Co.
LEH – Lehman Brothers Holdings Inc.
MER – Merrill Lynch & Co., Inc.
MNX – Mini-NDX Index Options
NEM – Newmont Mining Corporation
PFE – Pfizer, Inc.
RIO – Vale
SBUX – Starbucks Corporation
SNDK – SanDisk Corporation
TGT – Target Corporation
VLO – Valero Energy Corporation
VZ – Verizon Communications, Inc.
WM – Washington Mutual, Inc.
WMT – Walmart Stores, Inc.
XOM – Exxon Mobil Corporation

Within this subset of options, I would recommend you limit your trades to the more liquid options, usually those that are short term and near the money.
References :
http://www.optionseducation.org/help/faq/general.jsp#26