I have to, with a shamed face, admit to using those words "But where shall I go ?" some years ago. The final part of Peter's words rang in my ears "you have the sayings of everlasting life" , and my cult-controlled mind translated that as meaning the WT organization had such sayings.
Since my journey away from the cult, I have come to appreciate the many wonderful aspects of many religions and spiritual systems.
I am not a "believer " in the sense of following any one of these, I am a secular humanist , but almost all alternatives to JW's , leaving aside similar cults, seem to me to have more to offer, so even the "I am happy with it, even if wrong" type of JW is missing out by staying.
I think the short answer is, start the journey, get out, do not worry what the "destination" may be, wherever and whatever it turns out to be, it will be a better place.