I did this mod to my truck with a few minor differences, so I'll throw in my two cents.
Upon removing the breather from my rear differential, a hissing sound (not unlike that of a bottle of soda being opened slowly) and a whole bunch of gunk ground off into my eyes (looking up, being directly under my work area, not wearing glasses, and doing it at night while trying to hold a flashlight would maximize the hilarity of this story, but I'd like to save my dignity so we'll leave that part out.)
Instead of using a modified nipple (haha... nipple) to connect the hose to the differential, I went to my dealership and got a replacement and used a screwdriver and plyers to rip the breather's cap off, leaving the necessary room to attach the hose and clamp it down.
Also, instead of using another stock breather at the breathing end of the hose, I used a small fuel filter (Fram G3 generic) and just zip-tied it on the backside of the fuel spout. I saw this filter used in another mod guide and figured that would work better (still looks cool too).
What my advice to people would be is to make sure that your new breather hose DOES NOT touch the exhaust!!! (smells bad and you have to buy more hose) Find another zip-tie attachment point (brake line probably not the best idea either; use your judgement, and ask someone here if your not sure) and make sure that you still have enough slack to compensate for travel during articulation, or the hose will get ripped off on your first bump (and we don't want that do we).
Like the other people said, this is mostly just a profilactic and doesn't give you any acute benifits, but I still believe that a quick and inexpensive mod like this, which gives you the chance to work on your own ride, makes you feel likes the car is more yours and you get the expierence of wrenching (something I find theraputic).
Very easy to do, takes very little time, very little money, and can prevent problems that might occur down the trail.
HIGHLY RECOMMENDED! for all expierence levels (trust me, its hard to screw this up)