I figured you could help Jews more by not being a Nazi.
That's assuming you have a way to be effective in prevention at the start. If not, then you might find yourself in a Nazi state, where visibly taking the side of the Jews would be at best futile and at worst fatal. So you have to decide the most useful way to operate within it. In the real world, values are almost always alloyed. Pure good is theoretical, but rarely practical. That you can't save them all is a poor reason not to save any.
From the world's point of view, rescuing a single dog doesn't change the world, but from the dog's point of view, it sure does. If we always wait for the opportunity to do what we are told we should, we may miss the opportunity to do what we can.
One does, of course, run into some standard dilemmas, and perhaps a person such as Schindler could have done the noble thing and either refused to work within the system and been a martyr, uttering timeless aphorisms as he was shot, or refused to work within the system and emigrated, uttering timeless wisdom in his diatribes against the tyrants.
In some Philosophy 101 environments, this would be considered more moral than staying and pretending to be a Nazi and trying to save a few people, knowing that he must lie, and keep silent as many others perish. Better, some would say, to disavow the whole thing and let the Nazis shoulder the whole responsibility. If there's a god who judges at the end and sets things right, maybe that's the best thing, but it's cold comfort to the people who might have been saved and were not because it's bad form to play god.
To me this has nothing to do with the question of whether an ideological Nazi can be a good person, to which I resoundingly say "no," but more to do with the ethics of what amounts to a kind of espionage.
Purposely snide and hopefully jocular warning here to Joe Morgue: you have, as I recall, expressed a robust dislike of philosophy in general. Let us not, then, condemn Schindler for what appears to have been a resounding rejection of Kant.