Making your own party can be fun. I had a grand old time playing Icewind Dale. I even played a Dark Sun D&D game once where I re-created a party I'd played with in PnP, and my imagination certainly kicked in when I played.

But my party in either case were not characters, per se, at least not outside of my head. And like has been mentioned that doesn't mean much unless the game recognizes that. Still, it had its moments. And, really, it just means a shift in how the game is developed... you don't worry about in-party banter and party quests and such. All of that will have to be put elsewhere in the world, just as it would in a single-character RPG. With the party stuff all we're doing is putting more of the story internally into the party, as we feel it makes these characters you spend so much time with much more interesting.