I agree that sharpening your own knives is an ideal notion, but in my opinion, it's not for everybody (for a few reasons). I strongly second the recommendation for Bob Tate, www.seattleknifesharpening.com/. He does amazing (and fast) work and works with several local UPS stores for easy shipping/pick-up (or you can drop off and pick up at Seattle Restaurant Store up north on Aurora Ave.).
Honing your knives regularly after sharpening is really important, no matter who sharpens them. Seems that the general thinking has shifted from steel to ceramic, so keep an eye out for a ceramic honing rod.