Not done it, but thought about it. I've discussed this on forums before. The consensus was that it's certainly doable, but you do have to learn the proper care of the blade. Remember, a sharp blade is safer than a dull one, for razors too.
Actually, I did shave with a straight razor before (I had forgotten), and it was OK. It wasn't a good razor or blade, however, so I didn't do it but a few times. I just wanted to see if it was something I'd be willing to pursue. I could go either way. If I found a good blade and thought it was reasonable, I'd get it and keep at it until I learned or killed myself.
What I did do to save money, however, was to buy a double edged safety razor. The blades, here in Japan anyway, can be gotten for a much more reasonable price, and they will shave you much better than those other overpriced crappy contraptions that they push on us. Even those, however, need to be used with caution. Don't go digging in to your face like you pretty much have to with the other razors out there. That would be a big mistake. The other thing is that good shaving cream can make a huge difference in the quality of shave. I don't have many options locally, so I've gotten used to just using soap for a lather.
Smooth wishes.