I did, although in my case it was 'learning to fly'. Definitely do it - and you can bring the skills it gives you into all sorts of interview questions too if they don't spot it. Just stick it in the hobbies and interests bit.
Most interviewers will thank you for it too - much better than discovering that 'an interest in keeping fit' actually means you walk the dog, sometimes, as long as it isn't raining
So you've got the pleasure of 'writing up' then? That was me this time last year. Not sure if I should tell you what it's like though...