I had one with me on my trip to Alaska last year and I crossed back and forth a couple of times but never was asked for it. Not saying you shouldn't have it though. Mine didn't cost anything more than a little time to make a phone call to my insurance agent.
I'd also recommend that you verify the contents of the Yellow Card and make sure all the information on it matches exactly with your policy. The last thing you'd want is to be asked to present the card and then told it's the wrong card because your name is spelled wrong or the policy numbers don't match, etc.
