Each B & B has to make that decision for themselves. Many think it brings them a lot of business. I decided years ago they were not worth it to me and waved goodbye. I have never regretted it - BUT that was for my 3-guestroom B & B in Podunk. The fact you are even considering waving goodbye speaks volumes.
What works for me, may not work for you but here is what I do. I have listings on interest specific web sites - horses, rail-trail, motorcycles as well as the CVB on the other end of my rail-trail (not in my county) and as many other FREE places that are associated with what I do - not just willy-nilly at all. I link to and they link to me. I place ads in interest specific magazines only. I have developed a relationship with the ad person of my major motorcycle magazine - by placing ads over the years - putting together group ads a few times, and when she needs a certificate for a prize, I send (the ONLY one I do this for). This year I sent one as soon as I say something about the event - before she even asked and that helps both of us. She will tell me when there is a focus that is a fit for me to get a paragraph or two. SHE clued me in to a focus for an issue that I did an article for that got me a great spread.
I do still retain one directory as my "shotgun" marketing. Think "I shot an arrow in the air and it landed, I know not where". That is the directory - it is there to find the odd search. I use the one that is the least expensive of the big 4, still owned by an individual. It works for me. My annual revenue would not pay the taxes for some of the innmates - but it works for me. Of course, each year I try to better the previous and will until I quit. I want to turn a good property over to the next innkeeper and that means I must keep trying to be better (smarter, not paying my "profit" out to all the hands grasping for it).