Do you want to design and make everything, or do you just want to design and outsource everything else? Or somewhere in-between? With each choice you will have to have different expertise and different skills to learn. If you're not making everything then you don't need to learn how to sew, but then you need the ability to source manufacture or an in-house studio that will do this for you.
A LINGERIE CONTOUR COURSE
If you can afford to take a course in an area in which you think could benefit then I definitely would do. Whether that is pattern making, grading, business, sewing, that or if it helps employ a freelance designer to support you and push you along further. It can be lonely and slow going doing everything yourself. When returned back to the UK and was in the throes of setting up my own business I went to London College of Fashion for a 3 day course in Illustrator, which not only gave me the confidence to progress, but also gave me direction as I found there are do many ways to do one operation. Looking online confused me. And not only that, it was was so lovely to meet like minded creative people, even though I had to keep leaving the class to silently puke in the toilets as I was suffering from morning sickness.
YOU GOT THIS
The thing is I could give you a long list of pros and cons of doing courses, what it boils down to is you. Stop saying that you've love to be a lingerie designer and get started. Try on bras, decide what you like or don't like about them, what would you change etc... No ifs and buts, in two years time you will be two years older no matter what you do, wouldn't it be great if you were closer to your dreams?
Accept it will take you longer than you first thought, but don't accept your excuses you give yourself when it becomes hard. Start to read about designers/people behind brands to inspire you. It took Negative Underwear fours years to launch, they had no experience in the lingerie or fashion industry and had full times jobs. It all can be done.