You don't have to win.
Even if all you do is draw enough votes from one candidate to change the outcome, like Perot, you have gained two things.
Unlike Perot who was a flash in the pan candidate, established 3rd parties will be there in the next election and will have candidates at all levels of government.
One of the gains is that you will have let the established parties know they need to "rethink" the issues the 3rd party supports, and
Two, you will have let other voters know that the 3rd party is "growing".
If the 3rd party just gains a few % points of the vote each presidential election, it will become more effective with time.
Getting folks to look 15 or 20 years ahead instead of 15 or 20 months is the problem....but nothing will change with the established parties unless they do.
Another benefit of increased vote percentage is that they funds of the 3rd party can be more effectively spent. As it is, the two major parties make it very difficult for 3rd parties to even get on the ballot. If they haven't garnered a certain % of the preceding election vote, they have to get a large number of signatures on petitions in each state to get on that states ballot. And canvasing for signatures is expensive.