If all your pages are not being indexed it would help with that. Also, if your pages are not being re-indexed frequently enough it could be beneficial in this sense. Well I don't know of a study regarding this specifically, I imagine it would be a positive signal that you have one as opposed to not.
This site makes great ones, quickly, easily and free: http://www.xml-sitemaps.com/
When you add it I'd recommend placing it in this standard location: http://www.domain.com/sitemap.xml
Also, add this location in your robots.txt like so:
sitemap: http://www.domain.com/sitemap.xml