In many places if you go to a secluded spot in the desert/bush/woods you can shoot without harassment. I wouldn't do it in a location where people, hikers or whoever are present. I'd setup with a safe backstop behind the target area. It can be easier to just find a range & pay a fee.
I do some of both. My favorite place to shoot is our own remote camp property. I can let any hair I may have down & not worry about the guy one stall over.
Either way, be a good steward, no glass targets & pick up after yourself.