Yes, this helps a lot. It not only exposes all the components on the PCB to air, it also lets you put a HSF unit to work on the processor itself, as well as on the two L2 cache chips that bracket the CPU. These fancy HSF's are expensive, btw. Just preparing you for sticker shock.
*Caution* Find out exactly how to break and remove the black plastic jacket before starting the process. I doubt that you want to replace this processor before it gets over ripe!
This used to be a good idea on PIIs which were completely encased or on the older katmai PIIIs. The new CuMine PIIIs can still benefit, but this actually messes up the way that most hsfs fit, and you will have to use an additional piece of plastic or other materiela on the back of he cpu. On a CuMine I did not find that it ever made a noticeable difference though.
On my Slot A Athlon, which is basically not so different from a p III slot CPU, removing the plastic case did in fact help the temps, I was also able, to glue some 50 mm fan to the backside off the cpu, which also improved temps by 2 degrees