I did, and I beat the game some while ago. The storyline is just AWESOME! This game explains what happens after the Chain of Memories event and before KHII begins.
Actually, my friend is big Roxas fan and recommended this game to me. On the first one hour I'm playing on Proud and on Japanese version (Yea, the J-version is harder than the US one), I really love how this game has nice gameplay and deeper story, but with some less command. I use attacks more than magic when fighting bosses. The character's unlockabes are kinda annoying especially unlocking Sora. You need to get gold crown and buy an item from Moogle in order to get Sora. Also, Sora has the same stats as Roxas and Xion which is annoying unless you're a Sora fan.
I also loled when hearing a dialouge on day 356:Roxas: "No one would miss me..."
Axel : "That's not true! I do..."
It makes me think that Axel loves Roxas
and this on day 357:
I also realized why there are only 358 days and not 365, maybe it's because on the prolouge of KHII, there are six days with Roxas and then the seventh with Sora. The first six days represents Roxas' one year birthday
Also, I like Roxas more than Sora, because he can wield two keyblades, while Sora must steal Roxas' keyblades to do a triple-wield
That was the best DS game I've ever played (Even win against Pokemon B/W)