A vote for an independent is most definitely not throwing your vote away.
Australia uses what's called the “two-party preferred system,” this means that the system of government is geared towards having two major parties in government (one leading, one opposing), and only two parties being in a viable position to get into power. It makes it nearly impossible to have anything else.
Two main problems with the two-party system are that you can have parties that are so completely opposite from each other that they are extremists, and don't really serve the country well (on the whole), and obsessed with warring against each other, instead of sensibly managing things. Or that they're mostly the same as each other, with neither being a better choice. In either case, both can leave you with the same problem; there's no alternative party to choose from, to be your government, when you're not satisfied with either of them.
Establishing another party is deliberately made difficult, the system is designed to prop up the two main parties that already exist (Labor and Liberal), so alternative parties find it very hard to form enough members to create a party that could be elected. Only a party with enough politicians, as well as votes for them, can become the government. In essence, all that an alternative (smaller) party can do is to oppose the government, when appropriate, to try and prevent mismanagement.
But all of the parties have one major flaw; their members must tow the party line, they cannot oppose their own party, even if that's what their electorate wants them to do, because they will be disciplined or dumped. The only say that an electorate has (with a party) is the initial vote to choose who they want as their representative; after the election they're powerless to deal with them. You cannot sack them, you cannot make them do anything to stop a bad decision by their party.
Only an independent member can take a different stand (than the parties) on particular issues. An independent member can represent their electorate's actual views. They can work against government parties that are trying to do stupid things, and they can introduce new private members bills on issues that the parties won't.
The power of the independents should not be underestimated. For a government party to pass a bill, they need a majority to support it. Which, generally, means all of their own party, plus as a few others (other opposition party members and/or independent members). These independents will oppose bad party policies, insist on fine tuning policies to make them sensible and agreeable to the electorate, and the government will have to comply to get their support.