Is it worth trying to get in contact with a recruiter if I want to leave academia and enter industry in a data science position, or better to go it alone?
Most likely depending on your experience. If you find yourself having trouble getting interviews start talking to recruiters. I will say that almost every recruiter I've worked with has gotten me into interviews quickly (within 2 weeks). They may also help you in interview prep. If you're getting interviews by yourself you probably don't need them