Depends on what you mean.
If you're talking about playing both sides in a game I did a lot of that with the old BG games prior to discovering pbem clubs.
Also did some in my play testing.
For that I generally made a plan beforehand, used FoW and just played both sides trying not to take advantage of knowledge of other side's intentions.
Being an old boardgamer I had been doing that for years to test out what if ideas.

Against the AI, I seldom play against the AI other than for play testing purposes, I never play large or multi day scenarios.
I've done some work with the AI and there are too many problems when the AI is set just to attack or defend.
Using scripts for smaller, shorter actions can work well, especially if multiple scripts are written.
Scripts work fairly well at unit level, as the AI will follow unit orders and the only problems will be delays caused by different terrain moved through, or enemy units.
At Brigade level they are decent if well written, but that allows the AI more latitude and the problems show up more.
For larger battles the designers generally use scripts at Division/Corps levels or just the generic attack/defend AI orders.
These just plain do not work well due to the AI's inability to move large formations,
it will often deploy infantry into line even when there is no enemy in LOS of a command.
Also it's tendency to send limbered artillery out in front of the infantry is ridiculous.

So if you want to play against the AI I would suggest the smaller, shorter scenarios.
This can give you an idea of what works/doesn't work in the game.

But your best bet is to find someone with similar gaming tastes,
you'll find those who are gamers, using every quirk in the engine,
others who prefer to play with more historical tactics and those in the middle.
And if you ask you can find members who are more than willing to take on a newbie and help him learn the ins and outs.