Odds of Getting In
The great thing about the performing arts (as far as you're concerned) is that new shows are always starting up, so producers are always looking for designers for their next project. Build up a nice starting résumé, make some connections, be at the right place at the right time, and you could snag an attractive gig.
As most people in Hollywood know, though, it's the "be at the right place at the right time" part that's tricky. You could know all the right people and do all the right stuff to get your name out there, but if your timing is just the slightest bit off or the winds of fortune happen to be blowing in the opposite direction, it won't make a difference.
You can't torture yourself—it's simply the nature of the business. Do all that you can to set yourself up for success; hopefully good things will be headed your way, and no one will put a dimmer or fader on your dreams.