I've really been thinking about this lately. The thought process had renewed vigor as I was watching a video blog from a novelist who was excited about her first collection being available for print. You can watch it here if you'd like.
I've looked at Createspace prices and you'd definitely have to have a pretty solid collection on your hands. Long enough to where it looks substantial but not so long that you lose next month's rent paying for printing costs. I mean, you would have to have a collection long enough that you would feel comfortable charging $5.99-7.99 for.
But I'm still not convinced this is a wise move yet for the short story author. Considering how sales for this genre come it at a slow trickle (with the optimistic hopes of the dam breaking later), there's not much to indicate that the physical copy will help your cause. Even people who have novels out have admitted that it takes quite a bit of time to make your printing costs money back.
Could we be severely limiting our audience by not having paper copies available? Doubtful. I think short story authors face the same issues that big time publishers face: cost effectiveness. Sad, but true. The ebook is extremely cost effective and, therefore, is allowing life to be pumped back into the short story. Perhaps in a few years when the short story seems less like a social disease and more like a viable source of entertainment we can talk about printing.