I'm ashamed to say this but I recently joined a cult and I really want to get out but I'm not sure if I should.
Why the hedging?
I don't know what they might do if I try to leave.
Oh man that's scary, you should definitely try to get out as fast as you can. Get help from the police if you need to and plan getting out as safe as possible. I don't want to see anything bad happen to you so just be sure to do it safely.
They make you feel guilty for wanting to leave.
If they've threatened you, you have no reason to feel guilty. There are professional deprogrammers available if you feel you need help extracting yourself from the situation.