Voting with your wallet does work, it just works slowly, so it doesn't satisfy those who are waiting for revolution.
To give an example, let's say you choose to become a vegetarian. What difference does that make? The more vegetarian food you buy, the more profits go up for vegetarian options, the more options become available. It's a slow change as the impact is minimal at first, but look at what it's lead to. 50 years ago the idea of a food company specialising in vegetarian-only food would've probably seemed quaint, now it's normal. It's also normal to find multiple vegetarian options in restaurants, and even restaurants that specialise in vegetarian food. You may think of this as not noteworthy, but I'd suggest it only seems inconsequential as the change was so gradual.
Now imagine if all would-be vegetarians had continued to eat meat, but had lobbied the government to cut down on meat production, are we likely to have seen a quicker change?