You can think your self to be great, you can go on thinking your self to be great, till you see all fellow devotees going Back Home Back to Godhead, while you remain in this material world only.
Real religion is not about being a Christian or a Jew or a Muslim. Real religion is about loving God, & dedicating ones life to be an instrument of Gods compassion, kindness towards other living beings.
Do not think that if you surrender to God you will be loser. You will not lose anything except bondage, frustration and suffering. That is all you will lose.
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