I'm self-taught too (after all, quilting is pretty simple!) and I also have looked around for classes to take. I have yet to find one that interests me enough to spend the money. I seem to think I need to go to classes because others enjoy them.... but maybe that's not true for me. I'm not much of a conformist and I would prefer on doing things my own way. All the technique classes seem too easy and the project classes... well, I just don't need help with my projects if I have instructions. So why go to a class? Maybe they are not for all of us.
If you are hating it, definitely stop going to your classes. Chalk the money up to a lesson learned about yourself.