Never done it, but i'd like to. Before they jumped, I had 3 Peppermints. Every time one (or more) was carrying eggs, I thought about it. This post made me curious, and I started poking around. I found two interesting resources:
http://www.wetwebmedia.com/shrimpreprofaqs.htm is mostly on Lysmata, but there's a lot of good info on that site if you know how to find it. ReefCentral.com is loaded with tons of how-to's, how-not-to's, and lots of other goodies.
In short, it's like breeding clowns, except you have to isolate the shrimp, start with brine shrimp, wean onto crushed flakes, and pray. Apparently - at least with Cleaners and Peppermints - there are mass die-offs at 30, 60, and 120 day intervals for reasons unknown.