ON SHORT FINAL TO 4R9 ARPT; PLT REALIZES TOO LATE THAT RWY IS CLOSED AND MARKED WITH AN 'X.'

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WITH CLR SKIES; I MADE A SUDDEN DECISION TO FLY TO DALPHIN ISLAND; AND RETURN. PENSACOLA DEP PROVIDED VFR FLT FOLLOWING UNTIL I CALLED DALPHIN ISLAND IN SIGHT. APCH WAS UNEVENTFUL; UNTIL MY LNDG FLARE AT THE END OF THE RWY; AND I NOTICED THAT THERE WAS AN 'X' COVERED WITH ROCKS BEFORE THE RWY THRESHOLD. I THEN REALIZED THAT THE ARPT MAY BE CLOSED; BUT IN THE FLARE; I THOUGHT IT WAS SAFER TO JUST FINISH THE LNDG (AS THE RWY APPEARED TO BE NORMAL) INSTEAD OF GOING FULL PWR GAR. I TURNED AROUND ON THE RWY; AND TOOK OFF THE SAME WAY I LANDED. UPON ARR HOME; I CHKED THE DUATS; AND FOUND DAUPHIN ISLAND ARPT CLOSED. CONTRIBUTING FACTORS: THE SUDDEN DECISION TO FLY TO DAUPHIN ISLAND. THE TOTALLY GREAT WX SUCH THAT THE ATIS GAVE ALL THE WX I NEEDED. THE 'X' ON THE RWY END WAS HARD TO SEE; BECAUSE IT WAS BEFORE THE DISPLACED THRESHOLD AND IT WAS COVERED WITH ROCKS. PENSACOLA CLRNC AND DEP CTL DIDN'T 'REMIND' ME OF THE ARPT BEING CLOSED; ALTHOUGH I REALIZE THAT IS NOT THEIR JOB. (IT'S MY RESPONSIBILITY TO CHK THE NOTAMS BEFORE THE FLT.) CORRECTIVE ACTION: BE ABSOLUTELY DILIGENT ABOUT CHKING THE NOTAMS FOR THE LCL ARPTS BEFORE EVERY FLT IN THE AREA. I ALREADY CHKED THE NOTAMS AND HAD THE PRINTOUT IN THE COCKPIT ON INST FLTS AND VFR DISTANCE FLTS. BUT I WON'T EVER AGAIN ASSUME I KNOW WHAT'S GOING ON AT THE NEIGHBORING ARPTS. IT'S EASY ENOUGH TO PRINT OUT THE WX AND THE NOTAMS FROM THE DUAT BEFORE HEADING TO THE ARPT; EVEN ON BEAUTIFUL AND CLR DAYS.