The first thing that you need to concern yourself with, is to attain the ability to talk to musicians. Musicians will always be there to help you get your groove on, if you want to be an active member of their community. I have been an active member of the music community for years, and I have to say that it's pretty enjoyable, so why don't you give it a shot? A lot of us try to make it through, and a great deal of them make it as professional musicians. Ear trainers can get some great deals on discounts for many products, and most of them are amazing tutors, some even make a lot of money from it, though it is very difficult.
The thing about ear training is that when you want to give up, you are always able to. Nothing ties you down to anything, except of course for the priceless bonding with the music society, and you can't put a price on that. Ear training software is also a great way to go, because a lot of software is available out there that you can use in order to boost your ear training skills. A teacher of mine always told me: think slow, act fast. So what you have to do is think through this entire idea of you being mingled in the musical world, and then, only when you are sure, act based on your decision. That's the way to do it!
Now, if you are thinking about conservatories, I'd say yes! Go on, please! A conservatory is the best way to acquire musical skills and to get to know people that you can share music with, but it's expensive! If you have the budget, I'd certainly put my money on it, but if you don't, ear training software might be a great way to go.
What I want you to do, when this post is over, is to think about your decisions, and what you really want of your life. My suggestion of course would be to bet on software, because of its awesome quality, and the extremely low prices - compared to conservatories, of course. You just do whatever your heart tells you to, and good luck to you!