If it is just the cage that's bent it shouldn't be too difficult to get reasonably straight. However, check that the body of the derailleur is still straight. With those cheaper derailleurs it's not that uncommon for the body to get twisted. If it is twisted, the cage won't stay aligned with the sprockets as it goes through its travel, and gear shifting will suffer.
So yeah, having a go at straightening it won't make it any worse, but it may not actually improve anything either.
Just ride the bloody thing and enjoy yourself!