I have to. Cochins and silkies are so fluffy that they are not able to reproduce naturally. It is also easier to make sure what colors you are breeding that way. There is a very informative video in youtube if you want to learn. The main part if just practicing. It may take a while to figure out, but it is a lot easier and you can keep all your roos and hens separate that way. I have found that it needs done every 6 days for the best results.
Oh yes, some Silkies aren't able to mate naturally, but the pet quality ones or the ones from a hatchery that are not as poofy can get the job done for sure.
Here's that great Youtube vid.
I have no need for AI as I don't breed my birds but when I do get my own breeding flock some day, I might need to 'master' it. Also, there are some roos out there that are very hen-picky. I've had them. They might not mate with a certain hen for whatever reason. AI always comes in handy in this case.
I used to use a little plastic cup to catch the semen. And then a plastic pump syringe to inject it into the hen.
And good question Feedstorechick! I just hopped on amazon.com and they have lots of chocies. Otherwise your local pharmacy or med supply store should carry bulb syringes (and pump syrings for that matter).