I prefer to order online, and then pay Costco the $8 or $9 per tire to install them. It works out better that way, since Costco's tire prices aren't that great.
Costco gives you free tire repair for free as long as you are a member, even if you have no tires put on by them.
For the balancing and rotating which is also free (a hell of a deal), you have to have the tires at least put on there. I think it's a great deal myself, since rotating normally costs a lot, and Costco does it for free when I show them my receipt telling them that we had our tires put on by them!