For the most part they are radio clubs. Joining one is entirely optional and unnecessary. Nothing wrong with what you are doing now. Back in the heyday of the 70's and early 80's there MANY DX clubs and some offered newsletters and member rosters etc. Nowadays it seems they offer little more than a callsign.
Ummm; not exactly . . .
There are several radio clubs, and the larger, better established ones
have their own websites. They also send members hard copy printouts/booklets of all members. They also organize contests and give awards/trophies. Even still do DXepditions - to boot. A real sense of international radio ops community and camaraderie. Such as Alfa Tanga, Sugar Delta, World Radio, and so on.
Stella, the first number in the callsign for DX clubs is to identify the country of origin:
http://www.tangomike.net/reference-pages/prefix-lists/
The members all have unique numbers that are registered to their group and primarily operate on the freeeband in USB mode centering on/around 27.555mhz. But they also tx on the CB band as well.
There is also a website called Cluster DX that records recent radio reports so as to make aware of conditions between locations. Different clubs have different requirements to join, such as the number of CONFIRMED DX contacts.
The application process for some of these clubs (Sugar Delta and Alfa Tango in particular) are quite difficult. I know, as I had a very difficult time to get into either. But I finally qualified for Sugar Delta ('2
Sugar
Delta123 = Rob') after I confirmed over 30 different countries. IIRC, Alfa Tango had the same requirements. World Radio club does not; but you must request a call from one of their club admintrators ON AIR - only! Just an example . . .