Most climbers advise of doing those day courses. Me and my climbing partner got some guide books and went bouldering outdoors to start with, nothing insane but its gave us a feel for rock, around the same time we were starting to lead indoors, we kind of skipped the whole top rope first outdoors, and went with some guys we knew who were experienced and just did some low level leads and worked up (were climbing 22's in the gym and about 13/14's outdoors at the start)
Be prepared to almost start from scratch again climbing outdoors though, gyms get you strong but do have really shit technique. and technique and mental strength rules supreme on real rock.
If you dont do the courses read up on knots and practise until you can do them sweet, read up on equalising anchors and setting up anchors. Im not sure what your gym uses for belays but i assume youd be using an atc outdoors and a grigri in the gym, so get some time on an atc because they are a whole new kettle of fish (pretty easy just top roping, but i went from grigri top roping to atc leading and you really do need to think and pay attention)
Then theres gear, Starting out it can be pretty expensive, maybe not so compared to bikes, and you can probably split costs but a ropes around $300, 4 or so locking biners, length of static, some more static for a belayers anchor depending on weight differences, some belays and belaying carabiners
Talk to your gym though, see what they say, they may reccommend a course provider or something, might tell you some spots to go and play around on. Before you do anything yourself though make sure you know what your doing, maybe talk to some climbers in the gym see if you can tag along and watch them, you can learn alot just talking to others.