The understanding that everything is illusive is not the final one. It is an essential stage but only a stage. Ultimately you will understand that the form and separateness of a thing are illusory, but the thing-in-itself is not. That out of which these forms appear is not different from them, hence Reality is one and the same in all things. This is the paradox of life and a sharp mind is needed to perceive it.
However, to bring beginners out of their earthly attachments, we have to teach first the illusoriness of the world, and then raise them to a higher level of understanding and show that the world is not apart from the Real. That Thou Art unifies everything in essence. But this final realization cannot be got by stilling the mind, only by awakening it into full vigour again after yogic peace has been attained and then letting its activity cease of its own accord when thought merges voluntarily into insight. When that is done, you know the limitations of both yoga and enquiry as successive stages. Whoever realizes this truth does not divorce from matter--as most yogis do--but realizes non-difference from it. Hence we call this highest path the "yoga of nonduality." But to reach it one has to pass through the "yoga of philosophical knowledge."
-Paul Brunton-