I don't but a friend does. However she's obsessed with grains and flours and bakes a lot. Buys and grinds enough flour for a small bakery. I can ask her questions if there's anything in particular you want to know. Her reply might take a few days.
I know a couple of people who do it and I guess they do it because they like it. The process is almost identical to grinding your own coffee. its not saving them any money to grind their own flour because whole wheat grains are actually more expensive per pound than flour. Even unbleached, organic flour is cheaper per pound. The only reason I can think of is they would have more control over the fineness of the grind and can mill more "exotic" grains into different types of flour.