I did for a series of earlier novels and even went so far as to have dialects and an earlier stage that had survived in one part of that world. The most important steps were making a dictionary and deciding on the syntax plus coming up with some phonological rules. I skimped on the writing system because it would have been difficult to include that in the novels and would have been even more difficult for the readers to do anything with. By using the latin alphabet, there was at least some similarity.
One of the most fun parts was considering which words are connected with each other. Like, the words for "help" and "oath" have the same root.
One thing worth mentioning about it?
This isn't a good one but: The readers did not appreciate it. In fact, they were annoyed.
One of the novels had an entire conversation written in that language. The setup was so that the MC could not understand it and only had visual clues as to what was going on while a friend of theirs was holding the conversation and gaining some information for them. It was also a tense situation (as in: They'd all get killed if that friend didn't manage to make this work out) so it wasn't just added in for the heck of it.
For the ones that couldn't take not knowing what exactly went down I even wrote a translation and included it in the back of the book.
The feedback I finally got was 'Can't they just use some spell so they can all understand? Or make it work out magically in some other way?'
No, they couldn't because magic didn't work that way in that story. And, in fact, the other language was a major aspect since they all came from different countries with different cultures and learning about these things was a major plot point.
(Oh, and people severely disliked the characters' names since apparently, they're too hard to pronounce if you add accents like in è or é. Funnily enough, a very well-known author in my country published a book in the same year that did the same for names. You bet nobody mentioned anything about that in this case.)
So, in hindsight, I would never do this again. In fact, for a recent novel that needed another language, I just used vulgarlang to create it:
https://www.vulgarlang.com/
There were only two sentences in that language (a very short marriage proposal), as well as the names of some characters, including the MC which was explained. For the others, they just had the names and the meaning never came up. It just showed that they were from a different place.
For that novel, things went so much faster abd were easier as well and the reaction was better as well. I guess using the MC's native language for the proposal just added cute points for that. 
Anyway, I feel like if you're not Tolkien or an otherwise well-known author, people definitely won't appreciate the thought put into it and will instead prefer it if you keep things simple. At the very least, I've been doing much better with that approach.
Which is a pity, actually. Gosh, I wish people would be more adventurous. Like, both authors and readers. To me, world building and languages are one of the most interesting parts in a story. Sure, there can be a point where it gets too much but I sometimes feel like people skimp so much on it these days.
