No you don't just "rock up" that's why I suggested contacting a flight school in advance who knows the TSA system regarding foreign pilots. But I wouldn't say it was difficult, when I arrived in Orlando the first job was visit the appointed TSA office get my fingerprints taken, fill out the paperwork and within couple of days the flight school had permission to begin the flight process, while waiting I studied the ground stuff and then took my oral test and from then on it was concentrating on the flying with my CFI.