Pilgrimage is a fantastic gainer. Whether BM or Engine, Pilgrimage should easily be considered. In some simple BM board with Smithy, 'wasting' a turn paying $4 on an off turn around turn 7 could be well worth the later duplicates of Smithy, Gold and Silver (if it's not too slow!). The best time to begin investing in Pilgrimage seems to be the mid-game. It is not worth purchasing $4 on turn 2 or 4 on nothing in most cases. Much better to prime it when the engine is just about to kick off. Speed and efficiency is a tricky balance. Pilgrimage is an accelerator, so if there is nothing in your deck already, there won't be much to accelerate.
There are two different game states I'd consider when thinking about Pilgrimage, the +buy and the no buy. In games with no buy, I would question myself what I am trying to gain, and whether it's worth the investment. In games with buy, it's almost certainly going to be worth it, unless engine sucks for whatever reason.
Using this event purely for flipping the coin is wrong, unless you know you can win if you get off a Ranger or a Giant.