The curious case of an ex-mormon...

I suppose a brief overview of my plight might be best to start my introduction. I'm 23 years old. I was born into the Mormon religion and up until about a year ago remained in good standing in the church's eyes. For those unfamiliar with the Mormon belief system, it is a very socially complex religion with a strict moral code and stringent penalty book.
To be Mormon however is not to be unequivocally A-social. With my parents, though, I was homeschooled and only ever permitted to attend church related activities. I was socially cramped, and hungry for some kind of acceptance outside the confines of the chapel walls.
Hence, I decided it was in my best interest to leave behind the faith of my fathers and search for my own road.
I can't tell you how incredibly hard this was. I moved impromptu from my parents home in Virginia and jobless and without a place to stay, I moved to Philadelphia where I have since stayed.
Adjusting to a "normal" life took time. Even something as menial as ordering coffee was foreign to me.
I took a job in marketing and over the course of the past year have discovered just how exciting my life can really be.
I missed out on things like prom, homecoming, etc. As I grew up. Because of my career choice I also missed out on the excitement of a college life.
It was an adventure as I spread my proverbial wings of freedom. I started drinking coffee. I slowly began saying the occasional "bad word". I began drinking on occasion. I've experienced a lot that I never thought before I would. Socially, I've grown to heights previously unattainable to me.
I have just one last problem that for all my social skills and marketing experience I can't get past.
Women are like another planet to me.
I love em, and yet I don't understand em.
Over the course of the past few months I've opened myself up a bit and worked up the courage to start going to a few local bars and clubs. This led to meeting some cute girls, dancing my Ass off, having some awesome weekends...
But in it all there is one major problem. I have yet to ever "close the deal" with a woman. Yes, I'm saying that I am still a virgin. 23... I'm a fairly cool guy (or so I think anyways). Notbad looking...
Simply put, I'm still terrified like a 12 year old boy to run for the endzone. I'm terrified ill mess it up. I know that doesn't matter and there's always another girl but I've never had the know how or balls to take it anything past the non-commital kissing you get under the laser lights on a dance floor.
This led me to this site. Is like to imrpove my "game". I have a full skill set. I know what I have to do. It's just the dillema of actually perfoming said actions that leaves me perplexed and weak-legged.
So, this is JRadTheBad signing in.
I'd like assistance as I begin documenting my journey this year from AFC to PUA.
Any assistance from the coomunity would be both appreciated and heard.
So to start out, just a simple question, to improve my game, should I just continue going to clubs and bars on the weekends like normal or should I commit more time (and consequently money) to practice?

I am also a newb but I read your thread after the title and even though I can't offer actual advice fairly, I wanted to say how impressive it is, that you broke free of such a negative envrionment... that is very, very admirable, a very hard decision to make and follow through on.

Thanks Jaani. Quick update:
Since the last post things have been going much better. Fortunately for me my roommate is a PUA master. He quickly identified my AFC status and has given me a lot of useful info. What I've learned in the past couple weeks. 1. You can't act indifferent. BE indifferent. 2. It's impossible for a girl to put you in the friend zone if you put here there first. The difference is you get to take her out of the friend zone any time you want.
All in all its been going much better. I've got plans with a cute girl tonight. Will update later.