I think (to repeat others' points in different language) that to think of rational / irrational as a binary switch is bound to lead to trouble. In other words, I think that the question is whether an action, not a person, is rational or irrational. (Compare with questions of morality, where it is near-meaningless to ask "is this person good / bad?") Why not just "the analysis was rational, and the resulting 'wrong' choice was irrational?"
Once you figure out why you're still picking up pennies even though you know the financial reward is less than the risk then you can determine if it's rational or, if it's irrational, convince yourself not to do it.
(To be clear, there are other plausible rewards to picking up a penny, such as feeling lucky from the superstition. But you only mentioned a financial reward, and the financial impact is negative.)
I sometimes take a stick with horse hair stretched over its length, and pull it along steel cables stretched along a large wooden box. The risks are many, including getting chased out of the house, blisters on my fingers, etc. Am I irrational because I made the wrong choice?
If this is something you are interested in, check out Daniel Kahneman's book.
EDIT: I would like to know the reason behind the downvote. Thanks.
I was the (or a) downvoter. While your point is certainly correct that humans are irrational animals and there is no way around it, that seemed essentially irrelevant to the specific question of whether performing a rational analysis, and then acting against it, should count as a rational or an irrational action. (To be fair, it is highly relevant to the discussion as a whole, just not, I think, to this thread.)
Also, Antonio Damasio's work is an interesting complement/counterpoint to the overemphasis of cognitive rational thinking, and I'd highly recommend it. Descarte's Error is a good place to start, and makes the strong case that rationality is part of an embodied (literally) process upon which it depends.
I certainly hope you don't think that being irrational will help you to be more humane/considerate/farsighted, or that being humane/considerate/farsighted means that one can't be rational.
At the same time, while the human brain isn't set up for objectivity, it is set up for survival -- including survival in a social milieu. Some non-rational behaviors such as emotion and stubbornness may be valuable survival traits.
If I were to put anything on my own checklist, it would be: "Did I give myself enough time to think about this?" I can be persuaded by reason, but on my own timeline, and I'm a terrible debater, so I don't change my opinions based on debate.
I think there's something like that here. Thinking rationally is an unnatural act and some folks are interested in figuring out how to better train for it. Maybe it's a bit of a weird hobby, but I'm happy there are people investigating it.
However, it's still early days for figuring out which training techniques are effective. This checklist is a sketch of bad habits to look for, but how best to use it isn't settled yet.
(There are places for checklists in production. They're useful in high-risk situations where error has to be eliminated. Pilots rely extensively on checklists, and they're starting to be used more in hospitals.)