I still regret I didn't go over the game when I lost to a FM in my first FIDE-rated tournament. At that tournament I made two upsets against higher-rated players, and the FM wanted to prepare against me and found none of my games online :) He outplayed me and I was tired after the game and just wanted to rest, but I should have taken a free lesson instead!
And yes, thanks David, for pointing out the process of proving/finding my rating - I am in the process of this. I have pretty good results against the NZCF 1900s in the club and am still consistently losing to the 2000s. So that's about where I am at the moment :)
What WCM mkkuhner said. Play up a bit, but not against players so much better you get creamed and don't know why.
The good thing about many strong players is that they love to see their beautiful games and explain what the mortal did wrong. GM Tigran Petrosian and GM Sandro Pozo Vera, to name two, both analyzed the games immediately afterward for me, so you are more likely to get a lesson out of these games, so long as you make it clear that you'd like to "go over the game" with them.