You don't get the benefit from improving the tile, but you get instantaneous improvement of the luxury. Depending on the underlying tile and the point you're at in the game, it can often make sense to directly settle a luxury rather than wait five or six Worker turns to improve it.
As a rule, settling Mining tiles after the capital is a bad idea, and settling Calendar or Trapping luxuries is usually a good idea as long as the tile is positioned well. Settling Marble is often a no-brainer, since you get the Wonder bonus even if you haven't researched Masonry yet.