Generally sifting is really only necessary when you are dealing with an ingredient that clumps a lot (cocoa powder, cake flour, and baking soda come to mind). For the average cookie or quick bread recipe, whisking these ingredients in a bowl before adding the wet ingredients will usually do the trick.
Any recipe that requires aeration of the batter (Creaming method, sponge cake method, etc), it definitely helps to get out the sieve and give the dry ingredients a good sifting. With the ingredients listed above, you will definitely noticed clumps in your final product or a denser texture. When it doubt, it never hurts to sift. I recommend using a small sifter with a handle for small batch recipes over a piece of wax/parchment paper.