It does seem easiest to start with an IX, where you can follow the published rules to join the IX and connection your network to it’s without bothering every other member.
Better? No, almost never. Cheaper? Sometimes, especially in DCs that charge ridiculous MRCs for cross-connects. For a small/personal ASN, it can be the right choice.
But if you’ve only ever read about BGP and this is your first time putting it into practice, an exchange seems like the easier way to gain the practice. Most of them have simple rules that you can read in advance, and often your first port is free.