Research, research, research... read, read, and read some more. Figure out what is going to be best for you (training-wise and finances-wise) and pursue it. It is always going to be cheaper going to your local FBO or flight school to get training, but those places have their pitfalls too. If you want to work in the airlines, figure out what their requirements are (multi PIC time, night Xcountry time, etc...) and pick the training that best suits your goals.