Maybe 2006 is the year to vote for a 3rd party to send a message.
The 3rd party need not win to send a message. They only need enough votes to have allowed the losing party to have won.
For example, take Libertarian party. If they have 3% of the vote and the republicans lose by 1%, then they'd realize they need to do some things in the Libertarian platform to win next time.
So I suggest considering a party that more closely matches your beliefs. BTW: My beliefs change from state level to federal. At the federal level I'm more Libertarian (or federalist). But at the state level I'm a conservative.