I've built a few wheels from 'scratch' (I actually find it kind of therapeutic...like knitting for example). If you're really into working on bikes yourself I'd say do it at least once just to get the experience and the feel for what goes into it. As far as the practicality...one thing that you need to consider is the time involved in doing it. Those with lots of experience building wheels can probably do it rather quickly (Like Mr IGH's two hour build mentioned above). But if it's your first time it'll likely take you considerably longer. And, as others have indicated, it can be done without all the specific tools used by experienced wheel builders (truing stand, spoke tensionometer, dishing tool for rear, etc.) But without those items it may add to the time.
Dan