I say go for it! I moved to Raleigh, NC after college and it was a great experience. While I love it there my heart was here in Maryland. I don't regret going or coming home. Before I became a wife and Mom I got to be somewhere else....I think it helped me figure myself out a little better
I also can relate on the cost of living its expensive here as well! I don't allow myself to look at what I could get elsewhere lol. I agree with saving your money and having a plan. I am sure it will all work out for you