I am currently doing it. It can be a hassle, but I find it somewhat fun. I am lucky in that the major grocery stores in the area are preloaded with prices - so I don't have to enter them.
Basically, for everything you buy, you scan the UPC code, enter the price, how many you bought, whether it was on sale, if you used a coupon and if so, how much was the coupon. So, if you make frequent, small trips, it is not bad. If you shop once a week and have 20 bags to scan, you will not have fun. (My weekly CVS steals take me a while to do!)
I have found several errors since I started doing this that I probably would not have noticed.
As for the benefits, you get points to redeem for prizes. It takes awhile to get enough points to get anything "good." Also, it seems they reward you with more points the longer you continue the program. They also have surveys available for points.
That said, I have not actually redeemed for anything yet. I tend to hoard points on rewards programs to get something "good."