Definitely go along so you can get a feel for it, if you tag along with someone who already competes you will find it very beneficial.
Regarding NFC, KC shows don`t allow NFC runs in that context so you would`nt be able to go along and just enter, your dog has to be registered, measured, a minimum age of 18 months to compete, and entries for KC shows are all done in advance of the actual show. Some have pay on the day classes but the dog still has to be registered etc. NFC in the KC agility sense means filling in an entry form stating NFC as in not competing at the show.

Independents are different however, many allow entry on the day, and are very relaxed in atmosphere, there are some current Winter Leagues which you would be able to go to and to enter on the day including Nursery classes for dogs which are new to competition/recovering from injury so doing lower heights/allow use of silent toys in the ring etc.

Re walking dogs around the venue, apart from designated exercise areas all dogs must be on lead, and it`s not advisable to keep your dog with you the whole time as it will be very tiring for them, they need to be able to physically and mentally rest during a show, most shows start Ring walking at around 8am [ and dogs are not allowed in the ring while you are walking it ].

Schedules have all relevant rules for each show and venue so have a look at a few to give you the idea

This will probably help

Guide to Your First Agility Show • Introduction • Agility Addicts