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I go to an indoor or outdoor range
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As opposed to....?
Sorry I couldn't resist
If it was me taking lessons I would take a few group classes to get the basics and then one or two (or more) private lessons to refine what I learned.
Private lessons have the potential of being vastly better learning experiences than group settings, however for someone who just want's to learn the fundamentals, it may not be cost effective initially.
Just be sure to train with discipline and don't develop any bad habits!