Then take it from a guy who just recently saw his alma mater burst onto the collegiate baseball scene for the first time in history.
Involve yourself in the season, go to a couple games, collect programs and souvenirs, and enjoy yourself along the way. When I was a student at Oregon State, we sucked at damend near everything, the highlight of the athletics department was the wrestling team. It wasn't until after I graduated that we started to kick ass in football and baseball, but it didn't matter. Some of the best memories of my life and best friends I made came from rooting on those Beaver championship teams. Now I totally understand why people want to identify with something bigger than themselves.