It does seem easiest to start with an IX, where you can follow the published rules to join the IX and connection your network to it’s without bothering every other member.
But if you’ve only ever read about BGP and this is your first time putting it into practice, an exchange seems like the easier way to gain the practice. Most of them have simple rules that you can read in advance, and often your first port is free.
Certainly not via route servers or typical bilateral peering configurations - but transit-over-exchange is a thing, if you can find an exchange participant willing to offer it to you.
Yes, but the question is, is transit over exchange better/cheaper than buying a crossconnect? Worst case you've just introduced another dependency that costs money and adds complexity. If you're on an IXP, you're already somehow in a data centre anyway… that will have been the hard part in most cases…
> question is, is transit over exchange better/cheaper
Better? No, almost never. Cheaper? Sometimes, especially in DCs that charge ridiculous MRCs for cross-connects. For a small/personal ASN, it can be the right choice.