I think that (unless it's absolutely necessary) scrimping on little things can make people miserable, whereas cutting out a large 'luxury' could be easier. I would rather do without a fancy holiday than spend all year eating margarine instead of butter, or drinking instant coffee - maybe not the best examples, but I hope they make the point .
In the spirit of the thread, my 'luxury' items are lovely bath oils and lotions (I like Aromatherapy Associates and Jo Malone), quality knitting yarns such as cashmere and silk. I dislike knitting with cheap yarn, and whereas I could easily live without expensive oil in the bath, I love being able to do it, and it makes me happy when I do. I also like quality oils in the bedroom oil diffuser, so when I get out of the bath I get into bed in a scented bedroom.