Definitely seek out local magic club members. Many of them would be willing to help you. Thinking you can buy lessons from so of the big names in magic is dreaming. You have to learn enough on your own before what they have to offer would even benefit you.
Jeff McBride's master class is a great example. He will video tape your show and offer advice. No show? Oops, you'd better wait a while before wasting your money.
Besides magic clubs ( www.magician.org www.magicsam.com
) your next best step is to hit your local magic shop. Don't buy tricks, buy books. Start with the Mark Wilson Course, and when you can afford it, the entire Tarbell series. If you think you want to get serious about card magic, invest in all five volumes of Card College. If you're not sure, just spend $10 and get Royal Road to Card Magic in book form. Nearly EVERYTHING ever done with cards is in there somewhere.
I live in Las Vegas, and I'd be willing to occasionally coach someone, but not until they have something to show me first. It's called "paying your dues" and we all have to do it.