However, I'm not sure you understand that working within the GOP might be exactly what Palin is attempting to do. That one needs to have leverage to effectively negotiate with the geldings who currently run the GOP.
If you have nothing to take away then you have no leverage. Basic stuff.
If the intent is simply to hold the threat of a third party, but not actually go through with it, I see your point. But keep in mind undertaking the formation of a third party is a hugely expensive, enormously time consuming, and complex task. Each of the fifty states has their own set of laws, rules, and regulations just to qualify for the ballot. And as our history has shown, third parties rarely last long or get very far in our winner take all system.
Here is an example of something conservatives could do to retake the party: In Florida there is a spirited primary contest between RINO Republican Charlie Crist and conservative Marco Rubio for the US Senate. If you happen to live in that state, get active in the race and make a difference. BE THE PARTY! as Saul Alinsky would say.