I haven't tried the technique with my roller mill. I found a Corona mill on amazon for $20 shipped, and boy does that thing tear the wheat berries up. If you want to use a lot of raw wheat, that's what I'd suggest. For occasional usage, I'd probably just get flaked wheat. I put raw wheat in maybe half the beers I make, so it made sense to invest in the mill.
I have tried wetting barley malt and running it through the mill. That worked OK on one pass, but I tried to run it through a second time and it got all gummed to hell.
My LHBS sells flaked wheat for $1.25/lb, the Mennonite store near me sells it for about $0.50/lbs. So after ~27lbs ($20/$0.75) of raw wheat, it paid for itself. YMMV. It's also great for grinding up corn and rice for lagers.