Grant-writing is an important skill if you are ever looking for funding. As graduate students, you may or may not get a chance to be mentored in the process. If you have the opportunity to work on writing a grant with an advisor or peer (even if the funding will not directly aid your research or funding situation), do it. Mentoring and persistence are big factors in learning to write grants and being awarded grants. Grant writing is a highly desirable skill in an employee in both industry and academia. A successful record of earning grants can definitely improve employment prospects.
The Chronicle of Higher Education offers this useful article on grant writing, specifically tailored for graduate students: Grant-Writing Tips for Graduate Students
Let me know of your questions about grants and anything else writing-related at email@example.com