Best practice around sys.dm_db_missing_index_group_stats in SQL Server
Kimberly Tripp did a few very good video's on Index Analysis that covered your question extremely well as part of the MCM Readiness videos.

Indexing Strategies Demo
Indexing Strategies
Index Analysis

Among other things she said DO NOT just create all of them.  Review each one and compare it to your existing indexes, review it's cost etc.  I highly recommend them and best of all they are free!