Bottle dynamos aren't any more efficient than they were 30 years ago. The current best are probably the B+M Dymotec 6 or the Axa HR, which are quite a bit more draggy than a mediocre hub, even when well set up. More efficient bottle dynamos were produced (Lightspin & B+M S6), but weren't all that much cheaper than a SON hub, and still had the other drawbacks like being noisy and slipping in the wet, so, as most people spending that much opted for the hub, they are no longer available.
A good quality dynohub wheel costs about £130 from Spa. There's no performance difference between these and the £210 to £250 SONs.
I would comment that LED lights don't take any less power than old filament bulb lights did, they just give a whole lot more light.
When setting up a sidewall dynamo, take great care to get the roller axis at right angles to the rim/tyre - i.e. the roller axis intersects the hub axis, when projected. If it doesn't, the roller will be crabbing on the tyre, the drag will increase considerably, and the tyre will get damaged if you don't spot it and fix it.
As Ian said, you have to run the roller on a rubber coated part of the tyre, which means the edge of the tread.
A possible problem is the dynamo alignment being knocked out, perhaps by someone parking their bike on top of yours. There's also the possibility of the dynamo mounting bracket damaging the paint on your frame, assuming you don't have a brazed on bracket.
