Even from a purely selfish point of view, that's a good idea. From a numbers perspective, you can take things to an extreme level of effectiveness. From a metagaming point of view, you need to consider how the GM (and possibly the other players) are going to react to it. If you seem to be invincible, the GM will go out of his way to "challenge" you. All your extra dice have done is put a target on your head! So ask yourself which scenario is better:
A) The character rolls so many dice to soak damage that he is invulnerable to small arms fire, and can usually soak heavy weapons fire. The GM resorts to all kinds of methods to damage the character, becoming increasingly frustrated, as well as going out of his way to attack every other weakness that the character has. The other players are a bit upset, too, because the GM has been upping the difficulty of every encounter, and their characters are getting hurt a lot more.
B) The character rolls lots of dice to soak damage. Small arms fire can occasionally give him a light wound, and heavy weapons can potentially hurt him more. The GM is secure, because the character isn't totally invincible, and he could hit him with heavier stuff if he really needed to. So the character takes the occasional minor damage, but otherwise does quite well in his role. The other players like the character, because he is their big meat shield who draws the most fire while they do their own jobs.
Even though the character in A) is technically tougher, the character in B) has less problems. If you really want to optimize your character, a bit of metagaming is crucial. A pure number crunching exercise might have the most dice, but get targetted, if it is even allowed in the game.