You forget the impact interviewing has on you emotionally - if you fail x number of interviews, each accompanied by the typical deafening silence as to why, exactly, they don't want you, things start to grate pretty bad.
I think it's better to take a more balanced approach - interview until you have enough information to determine what it is you need to work on (even with their silence you can eventually work this out to some degree by examining what you were able to deal with well and not so much), then stop, go work on that, rinse and repeat until you're getting offers.
The whole concept of rejection therapy seems a rehash of the simple wisdom that you should have the balls to get out there and gather data, so to speak, on the things you desire rather than simply letting yourself rot in a less desirable situation out of fear.
However, I worry that people will lose sight of the fact that it's about actually challenging assumptions and treat it as some macho game. It's not smart to go out and get rejected, not think about why, then simply repeat the rejection over again.