1. Supplement at Home with Online Workouts, DVDs or Books
Nothing beats having an instructor keep an eye on you. A good Pilates teacher will help you correct weaknesses in your form and practice that you might not discover on you own. But you might also find that there is much to be learned by doing Pilates practice on your own for a while. If the cost of classes is getting to you, don't quit, just take fewer classes and supplement with workouts at home.
2. Use Small Pilates Equipment at HomeIf you need to take a break from the cost of large equipment classes, consider buying a fitness band, magic circle, or exercise ball for your home workouts. These are inexpensive pieces of equipment that can help simulate the resistance and instability that the reformer, chair, or tower provide. I know, it's not the same, but you can get a good workout with them.
3. Mix and Match Your ClassesStudy the class/cost list at your studio and figure out a schedule that will meet your needs and budget. That might be as easy as experimenting with different kinds of classes. A private is the most expensive class, followed by duets, and then group classes. Also, there is often a cost difference between mat and equipment classes. So mix 'em up! You could do a private and take what you've learned into a group class setting for a few weeks. You could do reformer classes and some less expensive mat classes. You might even consider taking only mat classes for a while. The point is that you can save money by rotating the kinds of classes you do.
4. Reconsider Private Classes - To a Point
I'm a big fan of private classes and I do recommend them for everyone. But privates can be very addicting, and they are the most expensive way to study Pilates. If you have an injury or physical limitation, you may need to stick with privates. If you can afford privates all the time, then more power to you. But if you're staying with privates because you are nervous about joining a group class, I'd suggest pushing past that.
Group classes are very non-threatening and offer their own benefits for learning Pilates. In most studios, classes are fairly small and one can still expect individual attention. Also, there is plenty to learn by taking in corrections given to other students. The camaraderie of a group class can be motivating as well.