I've got an Electrical Engineering degree but I don't actually work in the theater industry. Was looking to work in the A/V world after graduation but I couldn't get my
foot in the door and didn't know the right people. So I went into
power engineering. My day job is designing high
voltage substations. The nice thing about having a "standard" engineering degree is that you can apply it in many other ways should the situation arise. I satisfy my urge for theater by volunteering and consulting on the side. I'm very involved in my church media department and have done a
bit on consulting for other churches.
From what I've seen, and I've by no means seen it all, in general, salaries in the mainstream engineering industry will be higher than salaries for an engineer working in theater. I know that money isn't everything, but you need to decide what is right for you. What I've said is what was/is right for me.
As museav said, you have to look at what is available to you and make a decision for yourself. All the rest of can do is merely relate our own experiences.