No, I'm not doing it yet, but it is on the agenda for when Monkey gets bigger. It's a large and rather foreign project, so I like to read about it. I like to see what I can learn from other people's experience. Andgela, over at Walls of Books, has a great article about Latin in the Grammar stage, and references another article, this one from Memoria Press that also looked really good.
Memoria Press has an interesting idea: learn just grammar first. This strikes me as sort of backwards, but when I think about the difficulties I have had with learning Japanese, it begins to make sense. I studied Japanese in college, and since then have wanted to "finish" learning the language, but have struggled to merely keep up what I learned in the first place. Several times I've set myself vocabulary learning tasks to help my fluency. It's never worked very well. But the idea presented in these two articles seems to be that the vocabulary is pretty useless without a context to put it in, and that context is embodied in the language's grammar.
In terms of Latin, Angela has a number of suggestions for what to do in the grammar stage: teach the kids to love it through exposure in music and sayings. Have them begin the memory work that will lay the grammatical foundation for later work. Ask them to memorize scripture. All these things make a great deal of sense to me, now that I think about them, and are ideas that would translate well into other language learning.