Both. But it's a lot cheaper to practice skills once I had pins of my own (or on someone else's collection). Or it's nice if you have an entrance fee / free play location nearby.

If you're looking for something to practice, focus on one skill at a time. But reward yourself after some practice time by actually playing the game for fun, and trying out the new skill in a game. And the next time you play, practice that same skill, but on a different pin (before moving onto the next skill).

Most valuable flipper skills to learn (in order of importance, IMHO):
0) aiming, and making adjustments when you miss
1) dead bounce
2) post transfer
3) ski jump
4) drop catch
5) live catch
6) death save
7) shatz (alley pass)
8) tap pass
9) tip pass
10) loop pass
11) post catch