I also do all of my own club building, and I'd say shafts can improve your game, but the effect falls into two broad categories based on your skill level.
TL;DR If you don't actually know how to interpret the changes your equipment may have on your ball flight, or cannot generate a repeatable swing, then you'll just be shooting in the dark. A fun hobby for sure, but it won't help your game.
Most players at all skill levels will benefit from being fitted with clubs that suit their swings. Having a shaft too heavy or too stiff doesn't help slower swingers, etc..
That said, I believe that once a player is in the ballpark for having a mostly correct shaft for their swing, they won't get any real improvements from further tuning this piece of equipment until they develop a repeatable swing.
If your clubs are the right length and in the right neighborhood for stiffness and weight, but your index is higher than ~8 you'd be better served by spending your money on lessons or playing more golf.
In my experience I started noticing the small things in my clubs at around a 5 index. Swing weights, lies, shaft weights, flex points, grip size, shaft weights, tipping/flighting, etc.. IMO here are some the changes I've made in descending order of how much effect they've had on my game as a single digit:
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Driver. My on course swing speed averages ~117mph, but just having a stiff shaft wasn't optimal. I ended up going with a very light 60g shaft, but in tour extra stiff. Cut to full length, tipped, 4g added to the face of the club.
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Grips, I went to midsize grips +2 wraps around a 16 index. I'm now using the medium JumboMax ultralights on all of my clubs except putter. This helped me tame my occasional hook a bit, and my hands aren't sore the next day. My swing speeds also went up a bit, I think due to a lighter grip pressure.
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Swing weighting every club in the bag, but with a particular focus on the irons. My irons were ordered directly from the factory and I played them for years before developing golfer's elbow that just wouldn't go away, even with weeks of rest. Once I got around to measuring the swing weights I noticed that they were inconsistent, and some were too light by as much as 4 weights. It turns out I was holding off releasing because the club heads were too light, and the ligaments used of hold the club head off are the ones that were inflamed. Fixing the swing weights cleared up my injury within a few weeks.
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All the other stuff, notably tipping my irons to promote lower ball flight.
Also, I do not recommend making any of these changes without either discussing with your coach, or learning about ball flight and buying a high quality launch monitor that records spin numbers along with all of the other impact conditions (including face angle, attack, spin loft, swing direction, etc..)