LoveOfRose, one of the more knowledgeable and prolific writers on the forums, wrote a bit about experimenting with making a starter to capture wild yeast in
this thread.
It sounds like he hasn't had a lot of luck getting a robust culture going, but then again harvesting wild yeast hasn't been something too many people have put a lot of effort into.
Like Squatchy said, wild yeast tend to have very low alcohol tolerance, so they're not going to do well with in a must above 13-15 brix or so. When you make your must, I woudn't exceed a potential alcohol of about 5-6%. Anything more might be a tough medium to get a robust culture going in. Another thing to take into account is that these yeast will take a looooong time to finish a ferment. They're not bred for speed like commercial yeast.
One last thing to remember about wild ferments is that there's always the potential for organisms like
Brettanomyces to get a foothold. Some people seek it out, but most seek to eradicate it. The flavors it imparts are a matter of personal taste. One thing that most people seem to agree on is that it's a very hearty organism. It can be easy for it to spread from one batch to another through colonized equipment. Many brewers who have made batches intentionally using this yeast recommend actually having a second set of "Brett equipment" to use on those batches, keeping their main set of equipment for their clean batches.