Not many people are born knowing craft. Even those with natural gifts are usually really great at one or two things like voice and dialogue, but not great at something else. The problem is, if you're hoping to put out a phenomenal book (why are you writing, if this isn't your goal) you need to be good at everything. You will need things like classes, conferences, critiques. They all cost money. Some times lots of it. You can take this advice with a grain of salt. It's the sum of experiences of one person. But these are things I wish someone would have told me in 2010.
Conferences: Do go to conferences. Try to find conferences that offer craft workshops. If you need a pep talk, it's fine to attend motivational keynotes, and if you're about to put out a new book, marketing sessions can be good. But craft is what we make our names and build our careers on. DO NOT PAY FOR A PITCH SESSION. Your chances of getting an offer from a con are the same as in the slushpile. An agent even says this here. If you're going to a con and have a polished manuscript by all means take advantage of free pitch sessions. Do not pay for extra for it. I think most cons these are free anyhow, but I've met several people in the last year who have told met they paid for pitch sessions. This is crazy. If an agent makes an offer, they will make money off your work. Why would you pay them for that opportunity? One last thing about cons, local ones are often cheaper, and in my experience very good.
Classes: Be careful what you paid for. I once paid for a revision class that focused mostly on plot. I did learn some things, but I don't feel I learned how to revise. The class promised I'd be able to revise my novel in six weeks. Instead, I learned to plot. Not a waste, but not what I was looking for and since there were NO page critiques $200+ dollars was too too much. I don't think you should pay more than $50 for a class w/ no page critiques unless it's focusing on one aspect of writing/revising. For example, a $150 for a characterization class is probably okay without page critiques, because you will most likely get professional feedback on writing exercises aimed at characterization. But $150 for a novel writing class with no page critiques probably isn't going to pay off, because you're going to get general information you can find in the blogosphere for free. Mediabistro has some good classes that are a little bit pricey, but you do get what you paid for them. If you're a member of RWA, the online university has LOTS of classes, many free. The ones that aren't free are usually fairly priced. If you know of another good class source with fair pricing please leave it in the comments.
Critiques: Before you spend money on a critique, ask yourself what you're hoping to get. If it's discovered, save your money. You do hear of people meeting their agents at a conference, but it doesn't happen that often. You have a better chance in the slushpile for free. If you're hoping to learn something, or get help fixing something authors give better advice than agents/editors. I'm not saying that to insult agents or commercial editors, but they're usually looking at marketability whereas writers care about story/technique. Something can be commercially viable but horrible, or amazingly well written with no marketability. I'd rather a well-written manuscript with no commercial appeal than the other way around. And if you're going to spend money on a critique I would say stay under $3/page.
Freelance Editor: Someone once encouraged me to take a class over using a freelance editor. This was the worse advice I ever got. I don't mean to insult the person who recommended it, but they seemed to think you couldn't learn anything from a freelance editor. They just did it for you. Since then I've worked with a freelance editor and learned a lot. True, most of what I've learned has been grammatical, but that's because that's what I hired her for. Honestly, for the project I was concerned with, I could have hired a freelance editor for $400 or $500. I took a class for $250. I didn't get a whole lot out of the class, since the instructor never read pages. A trained editor correcting things and telling me why they didn't work would have been a whole lot more helpful. Fixing one plot means you can still mess up future plots. Understanding what is wrong with the plot can help you avoid the same mistake in the future.
Obviously, these are just my opinions based on experience. But I wish I'd known these things earlier.