I am not yet doing this. But am also planing to set up my own relay or possibly code my own relay.
reason is because, this is the only way to ensure all your messages are stored somewhere. Most of the other relays will purge or archive data after some time.
For this to really work though there needs to be client cooperation where the client will not post a note unless your relay is connected.
The relays don’t talk to each other.
Let me know how it goes #nostrdev #chicagoplebs