Agree with that for any type of grad school. My life lessons: Do not go to school unless you have to, and don't think of it as a foregone conclusion.
Real life example of Matthew's points: My first year out of school I thought I "knew" I wanted to go to business school in a few years. It was a rocky time and I thought more school would qualify me.
A few years down the line, I started applying... even after a friend of mine (who had gone) looked at me dumb-founded and said, "Why would you go to business school? People go THERE so they can have YOUR job." I felt like a dolt, but it got me thinking.
Just after I received my acceptances, I was offered a job that I considered my "next step" anyway. Needless to say, I did that instead and never went back to school... Then I decided to abandon the corporate world entirely. Boy am I glad I didn't take on a gajillion dollars in debt. The only wasted time and money was spent on applying - but I learned something.
I never went to grad school for theater either, but it didn't even cross my mind to do it that way. It can be a disadvantage, but I learn way more on the job. At this point (still early), it's going well enough that I don't think there I'll ever need to, and I certainly don't want to (it also helps to have fantastic mentors who never did). I stage manage because I love being in rehearsal, listening to the music, and the logistical challenges of putting on a production - not because I enjoy reading or listening to lectures. Pretty quickly, what you can do is what gets you the next job. Work your way there, if you can. Education is just a bullet on a resume.
If you do go (to *any* grad school), know what you're going to get out of it, and make sure you get it.