A degree in Aeronautical engineering will be useful on your CV when you are applying to the airlines for sponsorship but to a much, much lesser extent as a direct entry pilot after you have your licence (This depends a lot more on experience- breakdown of hours, ratings, types etc and your personality).
Personally I did the BA engineering apprenticeship and was there for 7 years before leaving to pursue a piloting life. I'm very glad I had that experience, however, although my background in aircraft engineering was useful, but it did not open any doors that were not half open already, if you see what I mean.
If you want to go for some sort of sponsorship then the degree is a definate plus, if not then give it a miss and start flying as soon as you can!