If you are interested in performing mainly in the theatre, then the obvious answer is “Yes.” It is much easier to find out about auditions if you are already hanging around a theatre, not to mention that some theatres (especially those with companies), do most of their casting from within their company.
I've been a member of several theatre companies and they were some of the most creative times in my life. In fact, if I wasn't so busy right now, I would go join one tomorrow. You may have to try a couple, but if you end up in a good company, you will have a fantastic learning experience.
What if your interests are mainly film and television? The answer is – you should still consider joining a company. First, you will get valuable experience by doing plays or sketch shows, or anything else they put on. Almost any kind of performing will make you a better actor.
And there's another potential benefit to being in a company. You will meet and work with actors, writers, and directors - some of who will go on to work in films and television. Many people who work together in the film business first meet while members of a theatre company. If you're dependable and have some talent, you can make a lot of friends, some of whom may be friends for life – even if you never actually work together in the future.
Finally, if you have any desire to do some writing, or just want to try your hand at it, many theatres do sketch shows where the cast will often write some or all of the material. This will give you a chance to write and perform your own material, and that experience is priceless.
Be sure and drop me an email if you have a question.