Hi tombell777. You can indeed sit the exams at any club. I took my first 3 exams at the Sussex Flying Club in Shoreham, and did not have to pay any form of membership fee to do them. The exams cost me £42 each which according to my research seems to be about the typical going rate (between £40 to £45 per exam is what I was being quoted by different FTO's).
I then sat the remaining 3 exams at RFC in Cambridge, and once again did not have to join or pay any form of membership fee. Best bet is to call your local aerodrome, or visit the website, and then ring round the local FTO's at that aerodrome. Pick the cheapest and do your exams there.