If your air filter is dirty enough that when you hold it up to a light bulb you can't see much light through, then it is time for a replacement. An air filters job is to keep containments out of your engine, and it does such a good job of that, over time those very containments build up and reduce the amount of air that your vehicle can uptake.
Depending on the age of your vehicle, this can reduce your fuel economy by up to 10 percent. Newer engines with computer management systems are usually able to pickup on a dirty filter and feed the engine less fuel to compensate. Even though, it is still a good idea to keep your filters reasonably clean for optimum fuel efficiency.