I haven't yet but am definitely going to.
My researches have led me to conclude that 3-ply is best, lots of twist, two of the singles spun clockwise and one anti-clockwise, then all plied together anti-clockwise.
I have 2 bobbins of clockwise-worstead-spun Blue-faced Leicester (supposed to be a good fibre for socks, you need a reasonable length staple) of a reasonable weight and consistency, awaiting the third (anti-clockwise-spun) bobbin to be spun up...
It's taken me a while to get to the level of proficiency to make singles that wouldn't be over-thick as 3-ply.
I am encouraged by having knitted up and worn socks made from Wensleydale sock yarn, bought from a destashing Raveller. It's from Sheepfold originally, 4 very lightweight singles plied together, knits beautifully and so far, wears beautifully too.
Wensleydale of course has a tremendously long staple, so that will help.
I do have some Teeswater, but I've dyed it and I think it's too glorious to be hidden away inside shoes / wellies...
I do intend to make socks from our own fleece, since I have an inexhaustible supply of that. But I thought I'd start with a fibre recommended for socks, so I have a benchmark to compare with.