Shouldn't We Colonize The Moon First?

...Mars is a wonderful goal to have but shouldn't we colonize the Moon first?  "Baby steps first!"  Colonizing the Moon FIRST would appear to be the wiser move (as well as more fun!).  "Only" a three day trip from Earth (Astronaut Scott Kelly could do that standing on his head), skills learned and research done could eventually make for a BETTER planned trip to Mars and beyond.  Currently not being privy to the plans of private sector space exploration companies (like Virgin Galactic and Space X), if government agencies like NASA don't colonize the Moon first, perhaps they can?  (Note: CONSPIRACY theorists may say we ARE already on the Moon but this is NOT publicly acknowledged by anyone, though I do believe our government HAS a "secret" military space program).  So as a citizen of America and the Earth I think our RESOURCES would be better allocated to colonize the Moon first BEFORE we go to Mars...