i am in a similar spot as well. i am 4 classes away from getting my BA in Studio art, but feel as if i haven't much to learn from this institution, and want to pursue a higher art degree. i have been talking to many of my professors and they pretty much all said to go to grad school, but to wait a bit. they agreed that the experience they gathered from doing artist residencies and exploring their art through their own time was invaluable. one of the things they all said was that concentrated art (grad) school is standing to be one of the most intense experiences they've had, and that waiting for more artistic maturity and experience made them do it for themselves, not for a grade (which is the trap i've found myself get into a few times.) all my professors are working artists who show in multiple galleries.
i honestly don't know if that is at all a help to you, but i think what i mean to say is that is is worth it, according to my professors, but it's not the only way to go.
i'd say if you want the feedback and training, go to some classes. i know that many community centers offer figure drawing classes and painting classes that are on a less formal setting than a university, but they are still worthwhile, and prolly cheaper. some galleries do the same. if you decide to go the university or college settign route, try to look for smaller classes; i'd say no more than 15 people. that way you get the attention you need to progress and the instructors will be more adept to noticing you (trust me... no more than 15. not a fun experience)
if you or anyone else wants more self directed studies and explorations, check out http://www.resartis.org/en/
for artist residencies 'round the world. some cover the cost of some or all aspects. it's pretty groovy
i hope this is more than babble. good luck on your parallel journey!