Custom white balance

I was wondering if you ever need to set a custom white balance, and how to do it? Or should I just leave it on auto WB and shoot in RAW so that it is easy to adjust after?
Any info on this would really help.
Thanks in advance, Dave

I have found that, using my 20D, AWB is wrong more than it is right. Thus I will never again set the 20D to AWB mode. I always try to set the camera properly for the light source type.

At times, particularly in a studio setting, I may use Custom White Balance. However, I find it easier to merely place a known reference (usually a standard gray card or a GretagMacbeth Color Checker card) in the scene and use the white balance "eyedropper" tool during RAW conversion. I always shoot RAW plus Large JPG.

On my XTi, you set a custom white balance by taking a filling the viewfinder with a white surface, snapping a picture and then switching to custom WB and selecting that picture. I mostly use it for hockey games so the auto WB doesn't freak out.

As SkipD mentioned, i found it much easier to shoot RAW, take a ref card shot, and adjust in post processing with eyedropper. I carry a Whibal card (small credit card size).

In Scott Petersen's Understanding Exposure, he states to take a reading off your white card/gray card and then meter your palm in the same light. Once you have a baseline of how far your palm is off, you can meter off your palm and adjust accordingly. No more carrying a white or gray card around! But it wont work for those who adjust WB in PP using test shot.

As Skip said

Get everything as right as you can from the beginning, an incorrect WB can also have an effect on your exposure / histograms.

I find that as I have been adjusting the white balance in every shootig situation, that the colors seem more vibrant and real.