I’ve thought about doing it. For a while, I was in an area so ‘red’ that getting even 10% D votes was horrifying to the population. Trust me, you cannot keep up with the outrage porn and virtue-signaling required. Any critical thought will have you being looked at like an alien that just popped out of the moon.
Plus, remember that the parties are private organizations. The people at ‘the top’ of those organizations, in the local and the state and the federal sense, are the people who decide who will be the next candidate. Unless you have Trump’s money, ‘charisma,’ and luck (read, being able to get free press from media because they’re all, gasp, horrified by what you said), you can’t break into politics as a R candidate without already knowing / rubbing elbows with those people.