It's a waste of time, for most black powder applications.
Most of us shoot black powder arms out to 100 yards, 150 yards at most.
Most cap and ball revolver shooters don't shoot any farther than 50 yards, though I have plinked out to 300 yards with my 1851 Navy!
NozzleRag is right: Powder sifting is only useful if you're shooting black powder rifles out to 1,000 yards or so. And even then, some folks will tell you it's of dubious value if you already have the best powder made.