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Q: There are a lot of times where I'll hear a message or read a passage in the Bible but i dont really know if it's conviction. I mean for a second it'd make me stop and think then I'll seem to forget what i need to work on and change within myself to better my relationship with others and Jesus.
A: It is not very clear what your question is, so I'm going to answer and if I misunderstood please ask again. If you are asking about how to know whether the Holy Spirit is convicting you, that is a difficult thing to explain, we could say that it is just something that you know is happening when it is happening. A question to ask when you hear a message or read a Bible passage and realize that your life does not line up with that and you feel that way is "Why do I feel like this?" What I am getting at is the distinction between godly sorrow and worldly sorrow that we see taught in 2 Corinthians 7. One particular verse (10) says, "Godly sorrow brings repentance that leads to salvation and leaves no regret, but worldly sorrow brings death." I'd encourage you to study this passage. Basically if you have a worldly sorrow, you are sorry that you did it, sorry that you got caught, but it is temporary, you basically just felt bad. But when you have a godly sorry it leads to repentance, it leads to you turning from the things that you are doing wrong and turn to God and to walking in His ways. I guess a follow up question would be how do I not have a worldly sorrow, and to answer with a question, what do you love? God or the world? If we love God with all our heart, mind, soul, and strength the result of conviction is a godly sorrow where we repent from our sins and run toward Christ, but if we love the world and live for creation than the result of conviction is often a temporary feeling of guilt.
Q: If someone makes Jesus their Lord and Savior but then starts to follow another religion are they still saved?
A: The Bible teaches in Romans 10:9, "That if you confess with your mouth, "Jesus is Lord," and believe in your heart that God raised him from the dead, you will be saved." The Bible also teaches in many places, such as 2 Cor 5:5 that the Holy Spirit is a deposit guaranteeing our salvation. So if a person has the Holy Spirit than the Bible teaches they will be saved. The question becomes about genuine repentance. If a person is genuine when they repent of their sins and live for Christ than they will receive the Holy Spirit and they are saved. Ephesians 2 teaches that it is by grace through faith that we are saved, and James 1 teaches that faith without works is dead, because our faith pours out into works and is apparent to others by our works. In other words there is a balance between faith and works. If this person has made Jesus their Lord and then they turn to another religion, they are not exercising either works or faith. To state it simply, this person was either never saved in the first place and appeared to be, or this person will one day return as a prodigal son or daughter. But be clear that you cannot pray a prayer to make Jesus the Lord of your life and then go live your life however you want. Jesus once said, "Why do you call me Lord and not do what I say?" If He is Lord than we need to obey Him, and a person with Jesus as their Lord does not follow another religion. All we can do is pray that they would return as the prodigal son did in Luke 15, and continue to share the gospel and the Lordship of Christ with them.
Q: I have a hard time understanding the book of Ecclesiastes. Could you point me in the right direction as to how to study this book, perhaps giving me some resources to use to better understand it?
A: In order to understand any book of the Bible, the first thing that you need to do is understand and know the context. Without understanding this it is hard to understand any book whether it be Genesis, Job, Matthew, 1 Corinthians, or Revelation. You basically want to know who wrote the book, who they are writing to, when are they writing, why they are writing, and what is going on around them during the time that they are writing. Understanding these things will explain most questions about any book of the Bible. And these things can be found in the beginning of the book in most study bibles.
To specifically help with your quesion Ecclesiastes is written sharing the wisdom of an older man who has seen the world, and regardless of any of the details all human beings go through the same general things, and when they arrive at the end of thier life they realize that it was all vain and worthless. The answer to not living this life of futility is Jesus Christ. The book could be thought of as one man explaining his journey to find the meaning of life.