Note an IX does not give you default/full internet connectivity. You'll only be able to reach the other participants' and their affiliates' networks.
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.
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.