I'm ready to go to Mars. Where do I sign up?

Despite several reservations that I have about Elon Musk, without a doubt, he is very important in achieving this grandiose objective, simply because he can move forward very quickly, avoiding the state bureaucracy that NASA suffers from in order to raise funds for its projects.

What always puzzled me is that we have those grandiose plans to go to Mars, yet we didn't go back to the moon (if we ever went there, that is). What's better "proving grounds" to settle/build/train than the Moon? Well, I know nothing about interstellar travel but my gut tells me "start small" and learn before you run... but that's me.