Nah, IMO they don't work. I can tell you from experience in myself - I bought one out of desperation when I had a persistent dry cough last year & it did bugger all for me.
The article Michelle posted is great, however I have found our steam vaporiser to be a Godsend. I have only used it for my kids when they are in a cot so there is no risk of burns there as far as I can see.
I found a heater to be really beneficial for Phoebe last night when she was coughing constantly. The air here has been getting really cold at around 3am.