Of course it's a good idea. I try to turn as many of my blog posts into PDF's. Usually just give them away as a download link at the end of the post. Get's more downloads and get's my stuff out there more. Course I add links and such. Nothing wrong with using them to build a list.
I've seen a couple of plugin's that will do it, though I can't remember their names right this moment. But the last one I used was just okay.
Honestly, the best bet, is just copy and paste your posts in to Word or Open Office and create a PDF. That way you can dress them up, add header, footer, links, ect. Most plug-ins or automation will probably not be that customizable, least not if your doing them in batches, and not per post.
I usually write all my blog posts in Word to begin with. Better grammar/spelling checker. Copy and paste into wordpress. Then I have a copy and can easily turn them into PDF's.
Just a thought