I tried the very first Western blotting in the lab, and fortunately, it worked well. It is difficult but entertaining to set up something from scratch. I had to purchase a transfer device, membrane, filter paper, plastic hybridization bags, a heat sealer, chemicals, and even a paper cutter (and more). However, the Institute has several chemiluminescence imagers, so I do not have buy one by myself (that would be impossible). Shared equipments help especially young PIs. I am happy that all worked out.
I probably performed Western blotting hundreds of times when I was a graduate student, but did it only 2 or 3 times as a postdoc. As themes change, required techniques change.