In American politics today: yes, it is helpful to favor the death penalty from the standpoint that there are legitimate, thoughtful arguments both for and against it. And there are. If you don't see the logic and resultant sincerity of the other side, this is an issue you should try to avoid discussing. And there is room under the tent for guys like Lance who, very articulately, presents the "con" side for conservatives.
I believe that the current fervency in favor of the death penalty is a long-term knee jerk reaction on the part of people like me, who believe that convicted criminals, who are marginally likely to commit the same crimes subsequently, should be kept from society, protecting future innocent victims. Too often, heinous crimes are committed by habitual offenders, previously incarcerated, but released.
It is a conservative issue today because too many conservatives, deservedly or not, view liberals (and particularly liberal judges) as soft on crime and unwilling to punish criminals, even the most deserving of extreme punishment, in favor of rehabilitation efforts. That is also why it is such an emotional issue (for conservatives) that reliably conservative judges get appointed to federal and the Supreme Court.
But, in ordinary, generic terms, the death penalty is not a conservative issue. It seems to be unique to America and unique to this particular time.