You do not need a Pilates class unless you have special physical limitations. Joseph Pilates designed his classic/basic mat work so that it could be done anywhere. In his day, all you needed was a towel and enough room to spread out, length and width wise. Today we have the advantage of a much cozier yoga mat.
Just get a book or video and make sure it specifies that it is the "Classic" or "Basic" Mat Work and you should only get the JP designed exercises and not all the yoga/fusion/modern moves.