The decision is your of course, but bear in mind that very very few people gain full sponsorships. The vast majority of people flying today have either self sponsored or found some alternative way in such as military flying. Like yourself, I tried all the sponsorships going, final board at BA, interview with British Midland (as they were then), Stage 3 at CTC McAlpine and final interview at Atlantic. I was turned down by them all, but knew that the only thing I wanted to do was fly so figured out a way to do that. I got a degree and a decent paid job, got a house thats increased in value, and as a result I'm in the position of being able to self-fund my training with no debt (and no contribution from my far from rich parents).
You say you don't have the money to be able to afford it. Have you thought about perhaps a career change to something that pays you decent money but would allow you to maybe do your training part time simultaneously? Sit down with a piece of paper and see if you can work out a way to fund it, or failing that, look at some way of borrowing the money or whatever. Sure its a risk having a big loan hanging over your head, but its up to you how much you want it
Having said that, if you feel its time to do something else then that's probably the best thing for you. Good luck with whatever you decide. PM me if you want to discuss it more.
PW