Welcome to the forum.
There is no need to go anywhere. This is Just another form of threat from cults, for people who wish to leave.
Baptism is a an ancient ritual that locks you in a religion and makes you a slave of it. Nothing more. When I was baptized I never felt the Holy spirit (Even anytime thereafter in all my 11 years as a JW) because this Holy spirit and stuff are all just imaginations.
I quit praying during the last few years as a JW because I realized that prayer is nothing but talking to ourselves. Nothing is as ineffective as Prayer.
Do a research about religions that you are inclined to, and you will know the truth. Just live your life. Make others and yourself happy. Life would be fulfilling.