Yep, i've been loading my own for the past several years. Can't load 3" shells with my loader but I can get 1 1/2 ounces of #6's using a WA12R wad in a 2 3/4 incher.
So far they have done fine...........
Depends on what your loading and how much free time you have.... I have a friend that helps me load mine....
Loading your own will make it easier to find the best shell/choke/load combo for your particular gun. Shoot a couple and make a change if needed with the shell, repeat.