I started a small colony a while back and have since abandoned the idea (for now anyways). I was so used to getting my order of Live rats on a weekly basis and the work that was involved in feeding, cleaning and general maintenance for the rats outweighed any added value I was getting from breeding my own prey items. This is just my opinion, and I still have not counted out setting up a more established colony of feeders in the future.
OP: If it is not going to cost you too much to start up a small breeding colony, try it and see if you like it and if it makes sense for you. Just remember you need to be prepared for the extra workload and have a plan for what you are going to do with any excess food you produce. Will you sell it off as live feeders? Kill and freeze it to use or sell as F/T? Do you have a well ventilated area you can house your rats? Etc...