You can believe without having to follow a religion. Like you, I have moments where I am struck by the wonder of the world and the awesomeness of life, and I feel that I am a very tiny part of a much bigger 'whole'.
I think that many people who call themselves religious have similar feelings and that they ascribe these feelings to a belief in a deity.
For me, ascribing the feelings of connection to a 'whole' as the existence of a sentient god who knows, cares or interferes in the lives of people on earth makes absolutely no sense at all. Likewise, I feel that religious doctrine is merely a man-made thing and that it has no power to compel me to pay it any more heed or to live my life in the way it prescribes, any more than any other work of literature.
So the question is - are you looking for a belief, or a religion? Perhaps you do believe already, but your definition of god is different from that which the major Abrahamic describe? What would following a religion bring to your life that you currently feel is missing?