This is how I prefer to learn as well. I call it "Immersion Learning".

For example, during my first year of Algebra, I carried a Calculus textbook with me to class, and read whenever I was bored. I read through the whole textbook that semester, and understood maybe 20%. I didn't bother doing any problems, and when I tried I was totally incapable, but that was OK. The next semester I read through a Calc II and Calc III textbook. Afterward I decided I was going to take the AP Calculus exam. I bought a prep book and started doing calculus problems for the first time in my life, and found that mastering the techniques came naturally. A few weeks later I passed the AP exam.

I think this works because knowledge (at least as it exists in brains) is not highly structured. It's a giant associative mess. As with learning a language, the best way is to be immersed, and let the entire associative mess emerge simultaneously.

Learn the shape of the forest before the lay of the trees. Afterward you can do targeted study to patch up your makeshift map.