As always, it rather depends on the composition of the army you are expecting to face.
First of all Gyrocopters are not going to win you any battles. They are very vulnerable, their only protection being an armour save of 4+ and their maneuverability.
You hand could well be forced into using one though if your enemy can field longer range artillery. You might be expecting a great cannon or pigeon bombs or some rare spells without range restrictions (although you won't know about this until the game begins so I'm not helping much right now !)
Gyrocopters will easily be beaten in combat by most other attacking type flyers. If not beaten, they will at least be held up and stopped from perforing their desired role (more on that in a moment)
Given the relative high points cost of your Dwarven army you might also end up having to deploy the copter before your enemy has deployed his flyers. In which case your enemy will make sure they deploy a flyer or unit of flyers to counter your chopper.
These are all negatives so far but the real answer favours the use of gyrocopter if only because it adds a tatical option to the Dwarf army which is traditionally a bit bereft of options.
If you are not employing an Anvil of Doom (which is limitless in range) then I would recommend taking a Gyrocopter. Having said that, I wouldn't recommend going to battle without an Anvil !
Also, if you're facing an army with a good armour save or one with a lot of long range abilities then take a gyrocopter.
This question is a real toughie but on balance, I'd say take a copter, definitely in large point games (3000pts +)
They can be very useful for such an immobile army. Just make sure you keep them out of combat !
