I think this is a common path we go down when we get started - we want to measure everything, and learn how all these complex things affect the outcome of the effect we're building or designing. At audio signal frequencies, as was said - if it ain't broke, it's not very important. ESR of capacitors, their impedances and so on, really won't change much tone-wise as long as the component is good and within the standard tolerances they're made under. These things come into play more at RF (radio frequencies), well above anywhere we go! Luckily, our work is VERY MUCH less demanding!
I think about as complex that we need to get is matching things like FETs for phasers and the like. Then it DOES make a difference. As an experiment, playing with this stuff IS fun, though, and helps you understand the inner workings of these parts better.