The confrontation of prejudice

Is it the obligation of conscientious individuals (ie, me, in this case) to confront all instances of prejudice they encounter? Is there ever a case in which it's morally acceptable, or where it's just more trouble than it's worth? I tend to hold myself to the Kantian standard of the categorical imperative (damn German philosophers; I blame Kant and Hegel for much of my interpersonal confusions), but I also realize that I tend to be less than realistic in my standards as applied to myself.