Worked for me. I only tried it the first time because I was making skittles vodka and didn't like the look of the floating scum. When I tried it I couldn't believe how smooth it was so I filtered it again and again and it just got better.
I then tried it with just a plain out crap vodka and it really really did improve it.
Quite a lot of what makes vodka so nice is the water purity so I am told , so I guess it would make sense.
However - It mucks up your britta filters pretty quickly and might actually prove more pricey than just buying better vodka.
I have just read there might be another slower but more effective way of improving vodka with food grade charcoal.