If you're talking about the boot config you created then no, it wouldn't be worth it as though configs are just a few k's big. If you're talking about the kernel or the image downloaded then yes, you could consider hosting the files locally so that you could save WAN bandwidth. You would simply just download the files necessary and put up on a local webserver and create a config that downloads the files from that. I'm working on a django version of
netboot.me for my company that I might release soon that would allow you to host everything locally but it's still full of kinks.