I don't think they will let you demo a set on a course, but they will let you hit any club from a set as much as you like, in their sim, in the store. Don't be afraid of buying stuff on Craigslist, that is exactly where you will find the good deals. If a club has been abused, you will have the visual indications of it. Don't worry about return or warranty, the absolute worst thing that can happen is that you might have to get a club or two reshafted, and that is unlikely to happen because of a defect. Clubs are extremely customizable, you can change the shaft material, shaft length, grip type... and since you are planning on taking lessons, one of the things your tutor is going to tell you is to get your clubs fitted (shafts adjusted to length according to your height and swing). It helps, but it's something I never did, as I don't consider myself good enough to go to that level of customization just yet.
'round these parts, we have a forum called
www.torontogolfnuts.com, and they have a classifieds section on their forum. It's a good place to pick up used stuff. Another site bespoke to our town is
www.redflagdeals.com. Their forums cater to a lot of personal classifieds, and I find a lot of good stuff there. Look for similar sites in your area, I am sure they exist. They are good places to ask questions, and have access to good deals.
With regards to demos, you could try renting clubs out at a nice course, and see how those clubs feel for you. I kinda get how you feel about demos because, at least in my case, I am a lot better on the course than I am on sims or at the range. But that is just a little nuance on my part, my friends tend to be able to get a good feel for clubs on sims/the range...
Both my roommate and another friend of mine got their clubs from Craigslist. My roommate got a Taylormade set for 150, and the other bloke got a set of Callaways for 175. They had tried newer versions of the clubs in the shops before they ended up picking them up.