I've toyed with the idea and ultimately decided against it. While the premise is alluring, the practice does not lend well to real life situations due to the inability to optimize on the fly. I have heard that there are some highly customized lockers out there that can fulfill the task of optimizing for you but this tends to be problematic with how networks post back.
Given the level of customization that so many networks provide, I can hardly see reason for investing time into creating a locker of my own. It makes for a fun pet project but takes away from time spent earning.