First, be careful with making a covering index. Depending on how many columns of data and their sizes may make a covering index quite large. If this is also an active OLTP system maintaining the index may be more expensive than the bookmark lookups.

One thing to look at is the elapsed time of the procedure before and after creating the index.

The cost values you see in the execution plan are basically arbitrary values. You really can't use those by themselves to determine how efficient or inefficient a plan may be.