Can we assume you are in Chicagoland?

If so then yes, the conduit is your ground. Connect any grounds to the box, or to a pigtail attached to the box.

The grounding of your devices is being accomplished by the metal-to-metal-to-metal contact of the device's strap to the junction box to the conduit to the breaker panel to the incoming ground cable. I don't know if Illinois required a green, or bare, ground wire in the conduit in 1987, but I believe a grounding pigtail from the device's ground screw to the junction box was required.
Pulling a ground wire into 25 y.o. existing conduit would not be an easy task.
Properly capped-off wires are not usually a big deal, normally due to an unused or abandoned circuit, though it may take a bit of detective work to find the other end if you want to reuse it.

Screw a ground tail into the hole in the back of the switch box and attach it to the ground wire on the switch.

Does not matter if 'ground' is created by the conduit. Code says a ground wire must be inside that conduit. Because conduit is not a reliable connection.

It was cheap to do when wiring was installed. Now it will be quite expensive.

Question is whether it is worth the money. Well that safety ground is for human safety. Same is better accomplished by installing GFCI type circuit breakers.

"Code says a ground wire must be inside that conduit"

Where does it say that?

Thank you very much for all the input.

Yes, I am located in Chicago land (South Lake County).

Is there any way I can test if my conduit is grounded?

I can see that all the switches and power outlets are not grounded in any way...

I am planing on changing all my switches and power outlets. Will grounding them to the junction box solve the problem and not violate any codes? Should I consider adding GFCI type circuit breakers? How can I check what type of breakers do I currently have?

Should I use 12 AWG or 14 AWG grounding pigtail?

Also when it is dry in winter and I forget to turn on humidifier I get shocked sometimes when using switches (static electricity). Will grounding them to the junction box fix the problem?

You just found out that the switches are grounded. When it is dry you are creating the static and the spark will jump to any grounded item.

Does not matter if 'ground' is created by the conduit. Code says a ground wire must be inside that conduit. Because conduit is not a reliable connection.

Absolutely wrong.

Article 250.118 Types of Equipment Grounding Conductors specifically permits either a copper, aluminum, or copper clad conductor OR Rigid (RMC), Intermediate (IMC), EMT conduits. The handbook even amplifies on a separate grounding conductor not being required in such conduit.
Plus there are more things certain flexible conduits (in some circumstances), cable trays, AC cable, etc.... All in all there are 14 things listed (a separate conductor as well as 13 other things that can suffice).

Westom is wrong. Consistently so.