With the better steel shot loads available today, I would say that it is not worth the trouble or expense for most people if they buy good ammo in case lots. If you don't already have a single stage loading press and a powder scale, you are looking at an investment of about $150 just to get the tools necessary to start.
There sometimes are benefits of reloading your own steel. You can tweak the loads for a little improvement in performance over factory loads. You can load certain shot sizes that may not be available at your shell supplier. However, it takes me about 1 hour to load a box of shells. Fortunately, or unfortunately, depending on how you look at it, since I hunt ducks and geese in Ohio, I don't shoot them up very fast either.
The reason I load my own is to get that last little bit of performance and for the personal satisfaction of taking birds with something I made. When I bow hunted, I made my own arrows. When I deer hunted with muzzleloaders, I made my own flintlock and percussion rifles. When I shoot my centerfire rifles and pistols, I load my own shells. I can't make my shotgun, but I can load my own shotshells.
Where you can save some money is if you handload Hevishot shells. The savings there can be up in the $.50 to $1 range per shell, depending on what you load, what you pay for factory shells and whether you get your hulls for free or have to pay for them.