I am going to be the devil's advocate here.
When I first started to climb out of debt, I tried 2 or 3 budgets and couldn't stick to any of them longer than a month. The last one I made though, the one that "took", involved my setting myself a certain amount of money I was allowed to just blow on stupid things. At the time it was several hundred bucks, far, far too high.
But the trick is, that safety valve, that pressure release, was ultimately what kept me on budget.
For one thing, I could have an unexpected tsmall expense and roll with it. I just bought one less stupid thing that month. It kept me from freaking out every time a $30 charge wrecked my budget category like it had in previous attempts, I didn't get discouraged any more.
For another, it builds slack into the budget. For instance this month I unexpectedly bought some detergent and antifreeze in (relative) bulk. But I didn't budget for that. But that's okay, because my "blow money" is going to absorb it. That's my "fun" for this month, humorously enough.
And finally, the best benefit of it is that over time, I've learned that spending $400 on silly stuff is every bit as satisfying as spending only $350 as $200 as $150 and so on. It just keeps shrinking but the amount of enjoyment stays about the same. In fact it increases, because now I spend it on the things that really do give me the most pleasure.
Psychologically, it makes a huge difference for me. I know that if I die in a freak accident tomorrow, I will actually have enjoyed my money while I had it. If I'd never willingly comitted to actually blow through a small portion of cash, I never would have learned to try to save the bulk of it. It has gotten to the point where what I waste is purposeful and it is two orders of magnitude less than what I'm saving and investing.