I want to know if going on to graduate school would be a good option or not? What are the benefits for paying for another two or four years of school in mechanical engineering?
Kudos for thinking ahead - In my experience, your interest is going to change as you go through your undergraduate career - you may even change majors depending on what you find! I wouldn't sweat the decision to do grad school or not right now.
Technical grad school (MS or PhD) is usually a chance to work with a professor to do real research and development that will lead to your Thesis/Dissertation. If you want to dig deep on a problem and do research in an academic setting, grad school is the place to be. The upside is many technical grad positions are subsidized by some organization and offer paying Graduate Research Associates. GRA's do a lot of grunt work for professors as part of their research and receive free or reduced tuition plus a stipend (cash) for their work.
If you want to start early, look at the research projects professors are doing or undergrad capstone projects that are going on at your school. I recall my school had teams for fuel cell cars, mini baha, autonomous robotics, Formula SAE, and others. You may be able to develop a relationship with a team/professor before your senior year just by getting involved.
What worked for me was not a masters but a technical degree as an aviation mechanic. I graduated in 1983 as a Mechanical Engineer. Later (when I was getting ready to go back to work after raising kids), I took a two year program at a community college to be an FAA certificated aircraft mechanic (Airframe and Powerplant Mechanic). I did it because I like to work with my hands and I like machines. It was really fun. My kids and I did homework at the same time. When I was ready to graduate, I applied for work at the FAA which had an opening for an Aerospace Engineer (I was not afraid to say that I was a Mechanical Engineer with some training on airplanes). I had two interviews and one job offer which I took. They liked that I had both the engineering and the technical training. My job was to review designs for certification to meet the regulations for safety.