the bottom line, for me, is to be very aware of what my desires, motivations/intentions, and priorities are for my life. and to let go of the illusions i grew up with. many years ago i got clear on what some of those were, and i made some dramatic changes to my life in order to start realizing them. none of what i did to change my life is going to do anything to change "the world", end capitalism, destroy the state, or whatever. it merely has reduced (pretty dramatically) the extent to which i must interact with the institutions i despise, and therefore it has reduced their impact on my life. and i am much happier as a result.
but then i personally like (and strive for) simplicity in my life. most people seem to crave complexity, or at least that is what their behavior leads me to believe (despite, in many cases, words to the contrary).
if it is important to you to support union workers, then by all means, shop only at union stores. (i'm not sure how that really supports them in any way other than "moral" support or some abstract sense of solidarity, but no matter). if you hate walmart, don't shop there (again, how much this really matters to them or their success, is probably negligible). the point here is, do what you want to do because it is what you want to do (because it meets your own needs/desires); don't have illusions about how it is going to change anything other than that moment. voting with one's dollars can be personally satisfying, but i don't see it changing anything about capitalism. eg; green capitalism is still capitalism.
my suggestion would be to take serious stock of your life, and do your best to identify what your true (authentic?) needs and desires are - not those that have been sold to you/shoved down your throat by the institutions that run civilization (capital, the state, culture/society, academia, science(tm), public relations, etc). then, decide what you can do to (realistically) to bring your life more in line with what you really want (and need).
self-sufficiency is a huge factor in my own detachment from civilized institutions. everything i can do on my own to meet my own needs/desires, provides me greater freedom from that which i hate. i have no illusions that i will ever be 100% self-sufficient, but i continue to try to get ever closer to that pipe dream, within my own constraints.
if you limit the scope of your pursuits to your own life (and the lives of those you choose to share yours with), you can avoid a huge amount of pain, guilt, disappointment, disillusionment, etc. some call that selfish; i call it practical.
now i'm rambling...