I attended OU for a bit and really wish there was a gun club there as well. I suggest you check out Tri-City Gun Club
Go south on I-35, take the Highway 9 WEST
exit but go back east across the highway and you're pretty much there. It's nicely secluded, gated with code access, 200 yard rifle range, 25 yard plinking/pistol range, 80 yard all purpose range and a trap/skeet area. They really
stress safety which is obviously a good thing. You'll pay about $100 a year for membership but it's very much worth it.