For the universities I applied to, you are still required to take classes in the PhD program. Even if you already have your Master's and decide to go for a PhD at another university, your class credits may not transfer (in fact, I was told at a graduate visit day at UMD that they don't accept credit from MS programs other than their own), so you might even have to do the required coursework all over again while going for your PhD.
Personally, I was able to find a graduate research assistantship my first semester here at UMD, whereas most of the incoming PhD students are in teaching assistantships. I feel like I'm getting a good taste of how research/the PhD program.