I've typically spun Romney fairly thick -- maybe a 2-ply in worsted weight (12 WPI). There was some lovely brown Romney I cabled, so those singles must have been finer.
Romney would have a medium luster, which might be nice for a laceweight yarn, if you decide to go that route.
I take two approaches when picking how to spin a fiber: I want it to work for a particular project, so that's how I spin it, regardless. Or, if I'm not sure, I use the rule of thumb, to match the thickness of yarn to the crimp in the fiber. (I think this is from Anne Field, Spinning Wool: Beyond the Basics) Romney's typically fairly crimpy, so a DK weight wouldn't be out of the question.
As far as using it for socks, scarves, mittens, hats, consider the recipient; as a medium grade wool, generally "softies" will find it too harsh next to the skin. My son, for example, basically needs cashmere or cotton before he stops complaining about fiber-itch, while I'm happy with mohair in a scarf, but not in a next-to-the-skin sweater.
Hmmm -- this post is a little bit like, "do what you want" -- but then again, most of spinning is like that.
