Trying SQL directly is important even if you use ORM to generate SQL. Having testable emvironment is highly recommended.
If you has VM for development, MySQL is already there.
On Windows or Mac, download installer from Oracle. http://dev.mysql.com/downloads/installer/
On Linux, use package manager. For example, Debian wheezy:
$ sudo apt-get install mysql-server mysql-client
You may be asked to set root password. This is a root user of MySQL. (not for OS user)
Now you can login to mysql with root user.
$ mysql -uroot -p
Enter password: (enter password here)
Welcome to the MySQL monitor. Commands end with ; or \g.
...
Type 'help;' or '\h' for help. Type '\c' to clear the current input statement.
mysql>
You can use root use for everything. But this is dangerous. So create additional user for general work is highly recommended.
Creating testdb database and user for accessing to the database:
mysql> CREATE DATABASE testdb;
Query OK, 1 row affected (0.00 sec)
mysql> GRANT ALL on testdb.* TO testuser@localhost IDENTIFIED BY 'password';
Query OK, 0 rows affected (0.00 sec)
MySQL checks where user come from. User 'testuser'@'localhost' means ‘testuser’ can login from ‘localhost’ (same to MySQL server).
Now you can login MySQL with testuser:
$ mysql -utestuser -ppassword testdb
Now you can create tables in testdb.