I used a small 9 hole course just 15 mins drive away, so, when I started, me and a mate used to go there... 7 par 3's and 2 par 4's... It also has a decent driving range, so that, and a baby course sorta got us underway, after about 2 months, we decided to join a proper golf club, and, well, looking back, it did help loads...
Though, it was expensive to play there, £10 for 9 holes (Not including driving range tokens), sometimes we were there 3 times a week, so, it actually made sense to join a proper club as a member as the cost came down dramatically (I play 4 times a week, 3 weekdays, and one on a weekend, £20 a round if your a none member... I pay £60 per month, so, the saving is huge)
So, my opinion is, yes, get to the range, but really, you will have two golf swings, a range swing and a course swing... So, its imperative you actually get out on grass and give it a wallop, even if your not playing very well, as you'll benefit it in your swing, as well as your pocket.
I've been to hell and heaven a number of times with my golf swing, you could be playing well, walk on the course and hit more shots then someone who has just played their first ever round, so, dont be shy in making a balls of it [Pardon the pun], always remember theres crap players on the course too (Might be me, lol), and, most of all... Just enjoy it, even if you hit a pearler and it hits the skinniest tree on the course square on and flies back over the top of your head into a stream. :D