No, don't go to the locals until all other options are exhausted. First thing you need to do is find a good photographer.
If you're budget conscious go to a local college (preferably an art college) and post an ad or flyer stating that you are a model looking for head shots by a competent photographer and will exchange your modeling services for photographs(or something to that effect.)
If your willing to invest the money (which I would highly recommend) find a very competent professional photographer to take headshots.
Tell him/her that you want to submit to FORD, NEXT, ELITE and IMG (I've including a link to allow you look over some of these and other agencies information along with the pros and cons of each).
You'll have your top three photos made into either "comp cards" (a card with three different pics of your self including contact info measurements, height DRESS SIZE-this is important) or single headshots &full photos with the same detailed info for submission.
Eventually, after working with an agency after a time you wll have all your published photos compiled into a portfollio called "your book" which is brought or submitted to agencies that are seeking models, when you are sent on "(open) calls"(basically visual interviews)
It's not just walking though.
You're a living, moving mannequin (so to speak) that is sporting the fashion, of the particular designer that hires you, to the hilt.
Confidence and command of the runway is essential.
Bear in mind also, that like every industry, it has its downside.
Models (depending on age) can have a business lifespan of 2-4 years tops.
There are some seedy people in the industry and drugs (although not a so prevalent or rampant as in earlier days) are still present.
You need to feel comfortable with the photographer also. Make sure you take this very important factor into consideration when you are interviewing photographers for your headshots.
Good Luck.