There are many possibilities to "play" with AZ Controller apart from LX: you have mentioned Oxygen, maybe you have some Tablet/Phone so you can see what OSC can do (TouchOSC is $5, Lemur $25) or if you have some game controller (joystick or USB gamepad).
Usual sequence to understand AZ Controller: Quick Start, Youtube/Startup preset, ACT MIDI Explained, Buttons or Pads with LEDs (with reference to the Manual), read throw the Manual to understand what is possible/implemented.
But please do not make the same mistake as me, try to not sacrifice the time you usually spend for playing/writing the music