My first experience with WW flour . . . my then new husband dumping my entire canister of white flour out!
The first time I tried cooking with WW flour, my oatmeal cookies came out like grenades! I've since found a nice combination of WW & white flour at Kroger. I forget the brand, but it's with all the other flours. Cooks just like regular flour. I DO sift when the recipe calls for it, but like Alix said, you also sift out the chaff (the whole reason for getting WW). I just dump it back in.
If you're looking to get into the WW thing with other products (i.e., pasta), Healthy Harvest makes a blended WW pasta. Good stuff & it doesn't taste like cardboard!
Good luck with your WW recipes!