First: There are two ways to use WordPress:
1) A free website at wordpress.com. Somewhat limited customization
2) Paying a webhosting outfit to host your site (such as GoDaddy), and using the WordPress's free publishing platform.
Second: Yes, you can switch your domain name to a different host. Assuming you have purchased your own domain name (such as "mydomain.com" rather than "mydomain.wordpress.com"), and assuming you are hosting your site on a third party webhost, here's a step-by-step:
http://www.isitebuild.com/hosttransfer.htmThird: Yes, you can start building a site on MOL first - you'll have to use their free "fourth-level domain" (see:
http://smallbusiness.officelive.com/en-us/free-business-website). Then when you're satisfied that you want to use MOL instead of WordPress, you can change the domain. You can also export your files from Wordpress to MOL.
Hope this helps!