It is best to be immersed, but you need a good and structured teacher/professor. I remember when learning French, I tried the Migros school as well as a private tutor, neither of which worked, because they always try to teach you how to say simple sentences instead of teaching the basics such nouns, verbs, sentence construction. The latter works best for me - at the Geneva University summer school where this was all provided in a very structured manner, I was able to improve my French dramatically.

To add my two pennies, even when I was learning German at school in England, the teacher only spoke in German (it wasn't that long ago...)...BUT as someone pointed out earlier on, when we learnt things such as the accusative/dative cases we had a explanation of it English first....as they are a complete mind blow. In a beginners German class you probably won't have got to any serious grammar points yet so I would give it some time. For what it's worth as well, my boyfriend just started a beginners German class with Migros a few weeks ago and he says they revert to English when people don't understand....which I'm not sure is very beneficial.