I'm writing some managed wrappers for the native-debugging API (I expect they'll eventually become part of the MDbg sample). I'm trying to make them FxCop compliant. Here are some random thoughts about my experiences.
I think the big picture is that FxCop is really intended for friendly class libraries; and so using it directly on native wrappers is somewhat of an abuse. Thus the end wrappers will violate a few rules (though violate them many times). I still found it very useful overall. In the worst case, you can ignore a rule. It's batting average was high enough that I found it certainly added value. If you're not running FxCop on your managed code, try it out.