Going out alone is fine, especially if you dont have someone who shares your interest in PUA to go out with. It changes how you approach things but it doesnt change the fundamentals of social interaction.
MattJacks touched on something very important here...opening straight away...doesnt even matter who. First you gotta walk in with a smile and energy...you cant walk in looking like your frightened. Walk in and just walk up to the first group you see, doesnt even matter if its all guys...then use that momentum to open another group and another.
The biggest reason for this is that you want to be seen with other people, the people who notice you wont notice the difference if they are your buddies or strangers, as long as you seem social and like your having fun.
Dont even consider it your goal to get a chick, hookup, etc...make it your goal to have fun and be social...and just be aware that along the way the opportunity may present itself for you to move from just social to creating attraction. Chances are your gonna have to go out many nights and open many sets, hundreds, maybe even thousands before you start really getting comfortable with it...but practise will make perfect.