I'm building a freeroll bankroll at the moment, and had been doing the play money -> $40 freeroll route. I have over $10,000,000 in playchips now, and I've cashed several times in the playchip freeroll -- I probably have about $12 in total winnings from the cashes.
If you are doing this, the best way to start is to take the $1,000 playchips they give you in the beginning and go to any NL table and try to quadruple up. Just get in there, shove any two and if you lose reload (you can reload $1,000 playchips anytime -- though there is a 5 minute waiting period). The players at the table will get the picture you are donking any two, and eventually you'll win a multi-way all-in pot with your cards and then you have $5,000 in chips.
With the $5,000 in chips, you buy a whole bunch (8+) of step 1 SNG tickets. The step 1 & 2 games are so soft, you can literally sit out the whole time in most of them and you will advance to the next step about 30-40% of the time. You will almost NEVER lose a ticket by doing this.
In steps 3 & 4 it's still possible to just sit out and never play a hand, but it becomes more like 5-10% advance rate -- and occasionally you might lose a ticket. It's usually a little better to just play ABC, and your advance rate should be higher.
From step 5 on, just play ABC poker. Grind your way up the SNG ladder -- you'll have a ton of tickets and chances with the $5,000 start. Eventually, work your way up to step 7 and cash big.
This is the safest way to build a play money roll -- you will never go bankrupt and you will build your roll slowly. The problem is, it is a SLOW process. It is a SLOW process, but SURE.
After I got about 500k using the steps method, I started hitting the cash ring games -- just look for soft games and punish the fish. I like the 20k NLO (no limit omaha) tables at full tilt. Even using appropriate BRM, your stack should start growing. If you do not use appropriate BRM, since it is play money it is a good way to learn the lesson of the importance of proper BRM.
When you feel comfortable with your play money roll and feel you can take a 500k hit without too much pressure, then start playing the 500k freeroll.
The biggest problem I find is grinding the meager winnings from these cashes into a reasonable bankroll which can be used to practice good real money BRM. When I first cashed, I was able to grind my way up on 2NL shortstack from $2 -> $15. This took a lot of time, a lot of patience, and was boring. I'm not particularly fond of grinding cash ring games, so I decided $15 might be enough to test the SNG waters. It was not. I played fantastic poker, I got it in while ahead almost always, but variance in SNG can be pretty harsh and 15 buy-ins is not enough to protect from the very real possibility of going bankrupt. Which I did. Twice.
In all honesty, the private freeroll / public freeroll way to build a real bankroll is probably the less time-consuming method of doing it. However, I will say that the process of grinding play money chips does teach one a bit about BRM, properly playing against donks/fish, table selection, and will expose you to a lot of hands with no risk.