I would think that your time would be better spent reading about investing (if nothing else, read these boards). Following penny stocks will take more time than you can imagine. It's going to be more exciting than working on asset allocation, but in the long run, it's not going to be as fruitful--IMHO. I know of only one person who made a tremendous amount of money on a penny stock (actually, it was a low price stock) and he's given a bunch of it back. Everyone else I know that did well in the stock market had long-term plan and pretty much followed it.
That said, somewhat like unclemick, I have recently bought two individual stocks, for trading purposes, just to satisfy the hormones (mine, not unclemick's). Both of these stocks are not penny nor low-priced nor do I have much of a financial investment in either. And, I only did this after putting a bunch of money in pssst, Wellesely.
Oh, one other thing: The money you lose with penny stocks could have been growing for you for the next 30-50 years. That's a lot of time to make that money work for you. And, once you use up time, it's gone. Damn, wish I knew (and understood) that 40 years ago.