Hey, starting at a gym may help you in some ways, i.e. possibly meeting people who like to climb, but personally, I started out on the rocks with a group of friends. Learning to climb on a wall is not the same.
only reason i went to the gym is because the guys at my local outfitter had recomended it,(thanks mark and tom from gearexpress.com) and they wouldnt sell me any gear until i did. for fear of me killing myself on the choss cliffs of starved rock. I was outdoors days after and ive never been fond of the gym. outdoors is where its at!!!