There's also the Hopkinton Sportsman's Association, Uxbridge Rod & Gun Club, Nipmuc Rod & Gun Club in Upton (small) , Singletary Rod and Gun Club in Oxford or you could go a little farther to the Worcester Pistol and Rifle club in Boylston or the Franklin Rod & Gun Club.
I'm in Uxbridge and was doing some of the same searching. I chose Hopkinton Sportsman's Association because of what it offered for variety.
Down route 20 is Auburn Sportsman's:
Covered rifle range (open on all sides), and enclosed pistol range (not the targets, and not heated, but a back and side walls to keep the wind out). No indoor range, but they are thinking of bringing back air rifle shooting into a part of the clubhouse.
Up route 140 is Worcester Pistol and Rifle:
I'll let someone else speak for their facilities.
N. Grafton is all outdoors, however, they have two "shoot houses" in front of the berms, one for pistol one for rifle, and has windows that you open and shoot out of. Both have wood stoves inside and get quite toasty warm. No plinking and not 24 hours, however.