I've done it. I've joined a role playing group. I watched Craigslist until I found a group that sounded close to my wavelength. We meet on Sunday afternoons (if the Hawks aren't playing), and so far it's going really well. We're playing Mage: the Ascension, and I'm really enjoying myself. Role playing does seem a bit odd, since the emphasis is on the storytelling rather than the 'game' part, but there is enough game to keep the whole thing honest.
I got mixed up and bought the wrong books initially. There's a new edition this year, and those books ran me about $50 for the pair. The right ones were about $10 for two, since I found them used. That was pleasant.
My character is a "Son of Ether" which means 'mad scientist' in this system. All the characters use magic, but they need some way focus it, because their ability to change reality is rooted in their belief. My character requires gadgets as foci for his hocus pocus. "Harvey Campbell" is his name, and he's part Elijah Snow, part Buckaroo Banzai, part Mr. Fantastic and part Agent Cooper.
I'm amazed at how fast time flows while gaming. Our sessions have lasted about 5 1/2 hours each so far, and that seems about right. I can see how it could last longer, but really enough is enough.
