First, realize that your candidate WILL NOT win. Major party candidates win. Third party votes are about forcing the major parties to mutate and adapt (and they DO mutate and adapt, which is why they have been in power for so long).
Second, make sure you can actually afford to vote third party. Watch the polls for your state. If victory is a foregone conclusion for a particular candidate (which is the case in more than half of the country), vote your conscience. Third party votes matter a great deal in the long run, because they force ideas into the public consciousness. On the other hand, if you live in a state where the outcome of the election is in doubt, hold your nose and pick a major party candidate, because doing anything else is effectively voting for the candidate you don't want. You may hate them both, but you CAN NOT hate them equally; humans don't do ANYTHING in that kind of balance. If one of the candidates makes you sick to your stomach and the other gives you screaming nightmares, vote the nausea. Really.
Third, if you are planning to vote major party, and you live in a state where the victor is a foregone conclusion, consider voting third party, just to shake the tree. Because the tree REALLY needs to be shaken, and third party votes DO count in the long run.