OK, so it sounds like you've done this before. So, I think you're right on: find a private workshop or studio, and just act. Doesn't really matter where you're honing the craft, as long as you're doing it, and doing it with someone who knows how to bring it out in you.
One thing you might consider, if you're waiting for something bigger and better to come along, but you want to keep your hand in: improv classes. Most cities of any size have at least one or two improv and sketch comedy theaters, along the model of Second City or The Groundlings. Usually they'll offer improv classes, in addition to doing performance. Those kinds of classes are usually really worth it. Even if you have no interest in performing sketch comedy or improv shows, doing a little improv work helps your timing, helps you think fast, gets your creative juices flowing, and gets you connecting to your scene partners. Also, looks good on a resume!
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Dull sublunary lovers love,
Whose soul is sense, cannot admit
Absence, because it doth remove
That thing which elemented it.
(From "A Valediction: Forbidding Mourning" by John Donne)
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