In all things, moderation. Security must be evaluated as a collection of tradeoffs -- privacy, usability, efficiency, etc. must be considered.
For example, you might suspect that the NSA has a better sieve than the public, and conclude that your RSA key needs to be a full terabyte*. We know that this isn't perfect, of course, but going much beyond that key length will prevent your recipient from decrypting the message in their lifetime.
* runtime estimates were not performed to arrive at this large and largely irrelevant number
Nicely put, but at the end perfectionism is a flaw.